Using either of the versions of the app that I own (iOS v1.3.1; Steam v1.3.1) I cannot start a single player game. Both versions require the choosing of two (or more) investigators.

How do I start a single player game with a single investigator?

I am sure the rules require you to play with two investigators if you are playing by yourself. With only one investigator it would be almost impossible to win, too much ground to cover in too little time.