Research online establishes that Lady of the Lake is a long poem by Sir Walter Scott, and it is heavily annotated with explanations of various historical and mythical references. The entire thing has been reproduced online in a few places, but in a later edition; there's an editorial note saying that 'most of' Scott's notes have been included. Not this one, unfortunately. To find the original notes I think you'd have to find one of the editions published in Scott's lifetime, i.e. before 1832. Curiouser and curiouser.