Dicho, I think the majority ruled against combining threads in most circumstances, so I'm doing it only in limited situations. Let's keep the current discussion in this one thread.

The abridged version of Randolph gives three titles for the song, "The Sad Song," "Lady Mary," and "Palace Grand." Randolph says Carl Sandburg collected the song in 1930 - I'm wondering if Sandburg published it in a book. Sandburg's American Songbag was published in 1927.
Barry Taylor's transcription of the tune is at The Contemplator website.
You can hear a recording of May Kennedy McCord singing "Palace Grand" at the Max Hunter Folk Song Collection.
-Joe Offer-