If I say
“He is kidnapped, or the worst case may be murdered.”
Does this sentence make sense? Or should I say
”He is kidnapped, or the worst case scenario may be murdered.”
Or even
“He is kidnapped, or the worst possibility may be murdered.”
"Murdered" is not regarded as a state of being. You probably would not hear a conversation like this: "How is Frank?" "Not too well, really. He is murdered."
It is hardly necessary to say that getting murdered is the worst case. Just say,
He was kidnapped, and may have been murdered.
Both sentences are correct. However, there should be, I believe, the IN preposition added in both cases.
He is kidnapped, or IN the worst case scenario may be murdered.
He is kidnapped, or IN the worst case may be murdered.
Moreover, there are some grammatical errors within your question per se.