Anon., "The Songster's Magazine: Being a Choice Collection of the Newest Songs, Sung at Ranelaugh and Vauxhall Gardens, the Theatres Royal, and All Other Places of Public Entertainment" (London: R. Coster, n.d., p. 7 [dated by the British Library "1785?"; all spellings and punctuation sic]:

Pretty Peggy of Derby

There was a regiment of Irish Dragoons,
They was all marching to Derby O,
The Captain fell in love with a young chambermaid,
And her name it was called Pretty Peggy O.

Oh! come down stairs Pretty Peggy O,
Oh! come down stairs Pretty Peggy O,
Oh! come down stairs and go back with yellow hair
Take the last farewell of your darling O.

I tell you now as I told you before,
And for what should you teaze me any more,
What will your mammy think, when she hears you are sick
And the hautboys a playing before you go,

A Soldier's wife I never will be,
And a Soldier shall never lie in bed with me,
For I will make him stond with his hat in hand
When he stands in presence of my company.

Then spoke his brother, a stout young man,
A valiant soldier as he were,
Saying, If she'll not go, we shall have sweethearts anew,
When we come to the Town of Killarny O.

When we come to the water that runs so clear,
That joins to the town of Killarney O.
The Captain sigh'd and said we are many miles away,
Here's a health to the pretty Girl of Derby O.

When they did come to the last town,
The town that they call Killarney O,
His name was Captain Wade and he died for a maid,
And he died for the pretty girl of Derby O.

(This text seems to me to be a little too clumsy and confused to be an accurate transcription of a song sung on the stage. Bruce Olson's text here

http://www.csufresno.edu/folklore/Olson/SONGTXT1.HTM#PEGDRBY

may or may not be from a few years later. That text is very much the same as what I reproduce above, but a bit less confused in the middle.)