In every single version the song is unequivocally set in Australia where there is, as everyone has posted, a Hawkesbury river where a seaman might have washed up at some point in his wanderings. Harry Cox had this as 'Oxborough' and once the tale or the song had reached Norfolk it is quite likely some singer or writer even spelt it in accordance with a local place. Now phonetically the two words are close enough to be interchangeable when spoken or sung. 'Bury' and 'borough' mean the same thing anyway. Bob's information is interesting but far from conclusive, or even the most likely scenario.