The woman in question was Lady Katherine Banbury, wife of Lord Jonathan Banbury. Miss Amy Banbury, sub matron of Auckland hospital, New Zealand (my grandfather's cousin) recalled after World War I her grandfather, Squire of Burford near Banbury in Oxfordshire, telling her that he distinctly recalled the white horse on which the "fine lady" used to ride. Among Lady Banbury's jewels were many very beautiful rings of which she was very fond. The bells were the tiny bells often used in those days to trim the edges of a lady's velvet saddle cloth. Miss Amy Banbury had a copy of the music written for the rhyme by a well known musician of the day, along with fine oak furniture from Banbury Castle.

These matters were reported in the New Zealand Herald some years after the end of World War I (undated) - I have a copy of the article.

David Miller
Korokoro
Lower Hutt
New Zealand