F. J. Child (English and Scottish Popular Ballads) refers to this as an analogue (though not a very close one) of his no.36, The Laily Worm and the Mackrel of the Sea.
He refers to versions appearing in E.T. Kristensen, Jyske Folkeminder, XI, (1891) 25, No.20, A-C; and in Svend Grundtvig, Danmarks gamle Folkeviser, II, 168, No. 57 (1853-78).