I am a Canadian graduate student doing an MA thesis dealing with ballads in Shakespearean drama. The earliest known version of "London is Burning" actually reads "Scotland is burning / Scotland is burning" etc. and can be found on the Lant roll at Kings College, Cambridge. It is dated 1580. You can find a reference to it in Shakespeare's "The Taming of the Shrew" Act 4.1. lines 15-16.