I too see no significant correspondence. As has been pointed out earlier in this old, recently-revived thread, Peggy/Maggy Gordon seems to be a late 19th century remake from Anglo-Scottish sources. The apparently unrelated Pretty Peggy of Derby, on the other hand, (despite its location in England in older versions) seems to be Irish or Scottish in origin (Bruce Olson has given specifics in earlier discussions on the subject).

When somebody drags an old thread back from the dead like this, one unfortunate consequence is that all the more recent discussions are disregarded, and people start to re-post the same information (and misinformation) that has already appeared elsewhere and been dealt with. One step forward, three steps back as often as not. It is not yet too late to avoid this! There is a quite good search engine here, after all.