Absent any court documents specifically giving some sort of custody rights to grandma, then I would say that the police certainly should help. You may need to speak to a supervisor at the police department...and maybe that officer's supervisor too, if needed. This is not a normal "civil" matter...this is active interference with your rights. This is, legally, no different than a random stranger holding your child.
Having said all that, I suspect that there may be important pieces of the story missing, so the above may not apply.