According to Kenneth S. Goldstein in the notes on Ewan MacColl's version of The Keach in the Creel in the Riverside anthology The English and Scottish Popular Ballads, it was "extremely rare in the United States, only a single complete text has been collected (in the Catskill Mountains of New York State)." And the reference to the bonnie blue turns up in various Scottish versions. So you're well suited in doubting your first theory.