Okay,
Googled Winton Castle and the Setons. The only problem I have with that is the castle is so close to Edinburgh, and if the ballad was written in Edinburgh which seems most likely, surely the writer would know the correct name. However the motive I gave earlier might come in here. Perhaps the author didn't want to upset the local nobility and changed the name of the castle.

Of course Mary Seton features in another ballad probably much older.