Seems like it's a combination of standard folk blues phrases. here's my transcription:

WORRIED BLUES
(traditional, as recorded by Bob Dylan)

I got those worried blues
And I got those worried blues
I got those worried blues
I got those worried blues
Lord, I'm goin' where I've never been before

I'm goin' where the chilly winds don't blow
I'm goin' where the chilly winds don't blow
I'm goin' where the chilly winds don't blow
I'm goin' where the chilly winds don't blow
I'm goin' where the climate suits my clothes

Honey baby, don't leave me now
Honey baby, don't leave me now
Oh, Honey baby, don't leave me now
Honey baby, don't leave me now
I got trouble in my mind

Listen to that cold whistle blow
Lord, listen to that cold whistle blow
Listen to that cold whistle blow
Listen to that cold whistle blow
I'm goin' where I've never been before

I got those worried blues
And I got those worried blues
I got those worried blues
I got those worried blues
I'm goin' where I've never been before


I may have lost count on a verse or two, but you get the general idea. By the way, the "Bootleg Series" is three CD's of Dylan at his absolute best.
-Joe Offer-