There's a brief (33-second) recording of this song by Dora Turner on a terrific Smithsonian Folkways CD set called An English Folk Music Anthology. The songs on the album were recorded in the field by Sam Richards and Tish Stubbs between 1974-1980. The recording is available on Spotify. Here are the notes:

Cob Coaling Song, sung by Dora Turner, Stockfield, Lancashire
(Opie, The Language and Lore of Schoolchildren)

COB COALING SONG

We come a cob coaling for bonfire time
Your coal and your money we hope you'll enjoy
Fol a day, fol a day
Fol a diddle i doe day

Down in your cellar there's an old umbrella
And nowt on your cornice but an old pepper box
Pepper box, pepper box, morning till neet
If you give us nowt we'll have nowt but bid you good neet.

Notes (1981): Cob coaling, a custom which appears to be confined to the industrial areas around Oldham, consists of blacking faces and singing this song from door to door. The reward for singing is money which is traditionally spent on fireworks to be let off on Guy Fawkes Night, November 5th.
We have not discovered whether modern children keep up this custom, although it is more than likely that they do as we have heard the Cob Coaling Song from a number of people in their 20s.
It is sad to note that its absence from the majority of standard collections is not untypical of England's attitudes (until very recently) to urban folklore