I can add, a little belatedly, that this song is number 5793 in the Roud Folk Song Index. I don't know whether the Battlefield Band credited their source, but it appears to be the set noted by James Bruce Duncan from Isaac and Alexander Troup in 1908 (Greig-Duncan Folk Song Collection, I, 1981, 223), with some minor alterations made (plus the puzzling change of Minorca to Majorca). The Troup brothers had learned the song from their mother, "long ago", and knew it as Lord Lennox' Men. There are a further two tunes given (close variants) and one text. The editors comment:

"Cf. the second item in the chapbook L.C. 2898:21 Young Grigor's Ghost, in three parts. To which is added, another new song, called, The Scots Grey Plaids. (Falkirk, n.d.) The 25th Regiment of Foot (The Edinburgh Regiment), under the command of Lord George Henry Lennox, was based in Dumphries, Annan, and Kirkcudbright from the middle of 1767 until February 1768. In the latter year it embarked for Minorca where it served until 1775. The wine there must have proved a disappointment after the expectations expressed in the song for Lord Lennox quarrelled with the Governor of Minorca over the poor quality of the wine served to the men. The dress of this regiment included a type of grey plaid called a maud. See R.T. Higgins, The Records of The King's Own Borderers (London, 1873), pp. 142-7, and Robert Woollcombe, All the Blue Bonnets, The History of The King's Own Scottish Borderers (London and Melbourne, 1980), p. 28."