An Amber Alert was issued for the man's two adopted daughters last week.
His 12-year-old stepdaughter, who he's accused of abducting, is eight months pregnant.
Hess is also charged with taking her 11-year-old sister.
The girls' mother reported them missing last month when the 12-year-old failed to show up for a doctor's appointment.
The Tennessee Highway Patrol arrested Hess last week.
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