Thankyou, Martin!  I don't have O'Lochlainn's second volume (though there's a copy in the City Library if I need it), but armed with that information I found a text and a couple of alternative titles on the net.  It turns out that there are two versions in the DT:

REILLY'S FAREWELL.  Version from Nova Scotia; no tune.
JOHN RALLY  Set with tune, from The Greig-Duncan Folk Song Collection (noted from a Mr. Lyall).  Greig-Duncan actually has six versions from Scotland, two with tunes.

The song even has a DT number, DT #463, and a Laws number, M8.  There is an entry at  The Traditional Ballad Index:

Riley's Farewell (Riley to America; John Riley) [Laws M8]

There also appears to be a set at the  Max Hunter Folk Song Collection,  but it's not yet available online.