I played this game, we called it Witchypoo, in Washington, MI in the 1970's. I learned it from Guest.Flora (Hi Mom!).

The beginning of our game went:

I am going downtown to smoke my pipe.
I won't be back til broad daylight.
Whatever you do - DON'T GO UPSTAIRS!
or I'll spank you black, I'll spank you blue.
especially you my daughter Sue.

When the mother came back the dialog was:

Mom: Where's sister Sue?
Kids: She went upstairs.
Mom: How'd she get there?
Kids: Climbed on a chair.
Mom: What if she falls?
Kids: We don't care.

The rest of the game proceed as in FransDotir's version.