I knew that it was an ultra-long shot but just so that no stone was left unturned, I had sent an e-mail to the Gwent Police a few days ago asking if there was any record in their archives about Artie Moore filing a report on Monday 15th April 1912 about the message that he received from the Titanic. I even sent them the BBC link in which it says that one of the first people he informed was at the Police station / Outpost in Caerphilly.
Some local authority archives have police records that go back that far- what you'd be looking for is a Station Journal. But in my experience as an archivist the chances of those surviving is vanishingly small. Most Local Authority Archive police records are formed of personnel records and just occasionally, crime registers. The day-to-day stuff tended to get thrown out when the Police handed over their older records for archiving.