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In this documentary, the guy says:

Someone a few days later emails again and says look Glenn can you do this thing and Glenn still doesn't do it this attempt basically to leak all of these secrets initially just go straight into the sand.

The last part doesn't mean anything to me, I did a little search in the internet and found nothing that matches here, what could it mean? for example "in vain"?

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This seems to be a rarely used phrase, maybe specific to British English. "To go into the sand" or "to fall into the sand" seems to mean something along the lines of "something goes to a place where it immediately vanishes and never goes anywhere or has any effect".

In the documentary, the speaker says that somebody wanted Glen to leak some secrets, but Glen wouldn't do that at this point. So, the attempt to leak the secrets to the public never went anywhere, it "went straight into the sand".

About the only other finding I could find is a speech in the British parliament from 1995

My fear is that unless the amendment is accepted by the House, the Bill will fall into the sand. It would be a tragedy if, after all the strength of feeling that has been expressed and the very good intentions which the Government clearly have in that regard, the Bill were to go into the sand because it did not empower any group to bring it into effect and to operate it.

(emphasis by me)

The origins of the verbal image might be the old misconception that you could drown in quicksand. So if something "goes into (quick-)sand", it disappears and never is seen again, without gaining any traction. I also seem to remember something about sand being an obstacle in golfing, but I don't know enough about golf to really say anything about it. This whole answer is mostly conjecture, but seems to be conclusive so far ;)

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    To me it looks more like a variation of "run into the sand" which like "run onto the rocks" or "run ashore" is a maritime analogy - this time implying coming to a stop as if it were a ship beached on sand. Dec 22 '21 at 10:39
  • It could also be a motor racing metaphor: Race tracks have sand traps, to slow down and stop cars that go off the track. Hence "go into the sand" means "go off course in a way that permanently ends whatever you were trying to achieve.
    – James K
    Dec 22 '21 at 18:30

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