Grasshoppers in the genus Melanoplus have undergone a radiation in the ‘sky islands’ of western North America, with many species originating during the Pleistocene. Despite their recent origins, phylogenetic analyses indicate that all the species exhibit monophyletic or paraphyletic gene trees. The objectives of this study were to determine whether the monophyletic genealogies are the result of a bottleneck at speciation and to investigate the extent to which the different phylogenetic states of eight species (i.e. monophyletic versus paraphyletic gene trees) can be ascribed to the effects of speciation. A coalescent simulation was used to test for a bottleneck at speciation in each species. The effective population sizes and demographic histories of species were compared across taxa to evaluate the possibility that the paraphyly versus monophyly of the species reflects differential rates of lineage loss rather than speciation mode. While coalescent analyses indicate that the monophyly of Melanoplus species might not be indicative of bottlenecks at speciation, the results suggest that the paraphyletic gene trees may reflect the demography of speciation, involving localized divergences in the ancestral species. With respect to different models of Pleistocene divergence, the data do not support a model of founder-effect speciation but are compatible with divergence in allopatric refugia.