The reasons I give for suggesting Caldy are as follows.

This song almost certainly originated in England as a broadside in the first half of the 19th Century. "Broken Token"/"Lost and Found Sailor" songs were developed from the "Hynde Horn" template during this period and are, as far as I am aware, almost all the work of the broadsheet writers. Versions collected from the oral tradition seem to have survived mainly in Southern England (Sussex, Somerset, Hampshire).

The song is about a soldier come back from fighting. During this period, Merseyside was one of a number of major areas from which troop ships sailed, along with (mainly) London and the South Coast of England. The "field of battle" may have been Spain during the Napoleonic wars ("The Coast of Spain" is usually mentioned ).

Given that the song almost certainly started life as a product of the broadside writers, it is worth doing some brief analysis of broadside versions.

The 12 different versions (there are over 20 copies in all) in the Bodleian seem to be a good sample. They were published in a variety of places (London, Manchester, Liverpool, Preston, Glasgow, New York and Dublin) and date from a Terminus Ante Quem of 1824 (none earlier than 1796) to about 1880. Here they are in order of the earliest date they could have been published.

Swindells (Manchester) Date: between 1796 and 1853
Catnach, J. (London); Marshall, W. (Bristol) Date: between 1813 and 1838
Pitts, J. (London) Date: between 1819 and 1844 (Cludy)
Armstrong, W. (Liverpool) Date: between 1820 and 1824 (Claudey)
Carse, W. (Glasgow) Date: c.1825
Harkness, J. (Preston) Date: between 1840 and 1866
McIntosh, R. (Glasgow) Date: between 1849 and 1889
Pratt, W. (Birmingham) Date: c.1850
Fortey, W.S. (London) Date: between 1858 and 1885
De Marsan, H. (New York, N.Y.) Date: c.1860
Disley, H. (London) Date: between 1860 and 1883
Such, H. (London) Date: between 1863 and 1885
Birmingham, W. (Dublin) Date: c.1867

Not only are there a larger than usual proportion of publishers around the Merseyside area, if we choose only those versions which could have been published by 1840 (a convenient date as it approximately separates out the pre-Victorian versions, and also splits them into roughly two halves) we find that, of five copies, two are from London and three are from the area around Merseyside (Manchester, Liverpool and Preston). Had we chosen 1850 as our date, they would also have included two others, one from Glasgow and one from Birmingham. Two of the versions show variant spellings; these are both from the earlier half (Pitts, London and Armstrong, Liverpool).

Most of the versions (including both the "early" ones from London and the one from Liverpool, have a verse where the word "faithless" is used which doesn't make any sense in relationship to the next verse (i.e. there is an inconsistency which suggests the version is not the original composition). This is not so in the Swindells copy, which has somewhat different verses. The Swindells copy is also in an earlier typeface (though this can only be an indication as old typefaces were used over and over again for broadsides). The Harkness (Preston) and Catnach (London) copies are in a regular typeface, however, which indicates a Victorian date for these.

I think there's a good chance that the song was originally written in the North West of England by a broadside publisher and found its way quite quickly to London, whence it mainly spread. The Swindells copy is, anyway, not a copy of any of the London versions. If this is so, Caldy may have been appropriate for some young maiden waiting for a troop ship to arrive. Alternatively, any fanciful name might well have served. If the name's a fanciful one, however, a search for the location becomes a waste of time anyway.

In contradiction to what I have said, the variant spellings are mainly in the title, so "Claudy" does seem to have been what the writer called the place. However, we need to remember that a regular spelling of place names was unusual in the first half of the 19th Century (actually, when copied from spoken English, this was true even in the last half ... My grandfather ws entered in the 1881 census as being born in Arcon [Harston] in Cambridgeshire and his sister in Strittone [Streatham], Isle of Ely).

Hope this provides some new light on an old song.

:-)
Ian