Yesterday we toured Loretto Chapel, the visitor center, the oldest house in the US (early 1600s), and generally toured downtown Santa Fe.
The legend behind the spiral staircase is well known, there was even a movie made about it. Basically the Sisters of Loretto were without a means to get to the choir loft, many churches used ladders, but this was not feasible with Nun's garb.
The legend says a man appeared from nowhere, never gave his name, built the staircase, and then disappeared without payment. People speculated that it might've been Joseph, Jesus' stepfather, since he was a carpenter. The wood is also not from the area. The closest place in America would be Alaska.
As an Architect, I can say that the staircase is quite amazing, since there are no side supports. Its all supported at the base.
However, in the 90s someone did some research and discovered that a man named Vegas had been paid in the Sister's log books. Further research revealed him to be a skilled craftsman from France who brought the wood with. Someone had apparently shot him and he is buried in the cemetery here, which is probably why it seemed like he disappeared.