The version sung by the New Lost City Ramblers is derived from the following:

"Little Ball of Yarn" was sung by Mrs. Emma Dusenbury.
Mena, Arkansas. Recorded Dec 22, 1936 by Sidney Robertson
and Laurence Powell.   

AFS Call Number: AFS 03236 A01

Info online here: https://hdl.loc.gov/loc.afc/afc9999005.6551