The text of the relevant verses of
With Her Head Tucked Underneath Her Arm
R.P.Weston & Bert Lee, 1934 reads;

With her head tucked underneath her arm
She walks the Bloody Tower!
With her head tucked underneath her arm
At the Midnight hour.
The sentries think that it's a football that she carries in,
and when they've had a few they shout `Is Ars'nal going to win?'
They think it's Alec James instead of poor old Ann Boleyn
With her head tucked underneath her arm!

With her head tucked... etc
One night she caught King Henry, he was in the Canteen Bar,
Said he, `Are you Jane Seymour, Ann Boleyn, or Cath'rine Parr?
For how the sweet san fairy ann do I know who you are
With your head tucked underneath your arm!"

See Jon Bartlett (above, 01-Nov-98 - 02:27 AM) for the derivation of san fairy ann.

AndyG