Wolff was the son of Georgiana Mary (née Walpole) and Joseph Wolff.
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Fitzroy Maclean recounts in Eastern Approaches how Charles Stoddart and Arthur Conolly were executed by Nasrullah Khan in the context of The Great Game, and how Joseph Wolff, known as the Eccentric Missionary, escaped their fate when he came looking for them in 1845.
In 1839 the Reverend Joseph Wolff, who later went to Bokhara to attempt to save Lieutenant Colonel Charles Stoddart and Captain Arthur Conolly, found in Yemen, near Sana'a, a tribe claiming to be descendants of Jehonadab; and in the late nineteenth century a Bedouin tribe was found near the Dead Sea who also professed to be descendants of Jehonadab.