Hi, Roberto - I couldn't find the Buell Kazee recording right off, but I found this in the meantime. It's from a CD called Am I Born to Die: An Appalachian Songbook, by Mason Brown and Chipper Thompson. Brown says he learned it from a 1960's folk-revival tape, from a recording by Buell Kazee or Bascomb Lamar Lunsford. Maybe it will help us understand the Kazee recording.
-Joe Offer-

Lady Gay

Chorus:
There was a lady, Lady Gay
Of children, she had three
Sent them away to the north country,
For to learn their grammery

They hadn't been there very long
Scarcely six months and a day
When death, cold death, come hastin' along
Stole them babies' lives away

Repeat chorus

It was long 'round Martinmas
The nights being cold and clear
She looked and seen her three little babes
Come a—runnin on to her

She set a table long and wide
And on put bread and wine
Come eat, come drink, you three little babes
Come eat, come drink of mine

Repeat chorus

We want none of your bread, mother
Neither do we want your wine
For yonder stands our savior dear
And to him we must resign

Repeat chorus

Green green grass grows above
Cold clay beneath her feet
And every tear you shed for us
It wets our windin' sheet

Fare thee well, mother dear
Fare thee well, to barn and byre
An' fare thee well, you pretty little gal
That tends our mother's fire

Repeat chorus

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There's also a very credible rendition of the song on a CD called Inside Dave Van Ronk.