cStu observes that Lead Belly sings of two of John Henry's women/wives, providing for the possibility that one was at the scene of his death and the other had to take a train to go where he fell dead.
I wonder where Lead Belly got his version. I think that he was a sponge for songs and fragments of them, which he continually incorporated into the versions he performed and recorded. I suspect that the recorded version referred to by cStu is a product of such agglomeration.
In any event, JH's women have lots of names in the ballad versions. Some indicate that his various women wore different colors of dresses. Others say that his wife/woman wore different colors on different occasions.
I've always imagined that it was his mother/sister that had to get on that "east-bound train" to "go where John Henry fell dead."