Turn right and steal crowbar form the cart. Now proceed to Cafe. Try talk to captain, but he's an idiot and won't let you see Milka's cabins. Ok, back to Milka, but now with crowbar. Examine lower bed, you'll find a scrap of cardboard.
Exit cabins and try to leave the ship.
Eventually, Lewton will jump into water and you'll find yourself in your office. Go to Pseudopolis Yard, talk to Nobby about mysterious passengers. You also gain access to Octarine Parrot. Return to Nobby and ask him about Madame. He'll tell you she's dead and buried in Mausoleum.