After returning from Europe to Costa Rica, Volio went to Nicaragua to join Augusto César Sandino's guerilla army, the "liberales", in the struggle against the United States occupation of Nicaragua. He achieved the rank of general. Returning to Costa Rica to teach, he was persecuted by the military dictatorship of Federico Tinoco Granados. In 1919, he joined the Sapoá Revolution against Tinoco's regime. When the revolution failed, Volio made unsuccessful attempts to organize invasions from Panama and Nicaragua to oust the ruling junta.