I find almost nothing on Robert McElroy who was born about 1873-1880. He may have been born in Chicago or in Denver. He was a firefighter killed in a fire about 1912. His parents were killed in the Chicago fire, and we believe he was adopted by his uncle McElroy. His father was from Alsace-Lorain, and we believe his name was Sublett, or something like it.
Have you tried getting your father's birth certificate your grandfather and grandmother's info should be on it. Find US or State, County census records and see if you can trace him backwards. Use the soundex or the other one to look for name sounding similar. How about newpaper records or fire department records. How about court records on adoptions they may release them since both have passed on. Find the place your grandfather was born and find the closest big town with or my have had a newspaper and they may be some articles about him. Or real estate records If they have micro fish you may be able to order it through your local library. There is a good show series on the BYU-TV vhannel that goes over places to research. Just some suggestions.