From the Contemplator Website:
Darling Nelly Gray was written by Benjamin R. Hanby in 1856. His father was an Ohio minister with strong abolitionist sympathies. His home was a station on the "Underground Railroad." The tune was based on the story of a slave who was sold away from her home and family. The tune was very popular in the North before and during the Civil War. It is said that the tune was inspired by a runaway slave named Joseph Selby who stopped at the Hanby home on the way to Canada. Selby hoped to earn sufficient money in Canada to buy the freedom of his sweetheart, a slave named Nelly Gray. One version of the story says that Nelly was traded to a Georgia slaveholder on the day before she and Selby were to be married.
Benjamin Hanby only lived to be 33 years old. During his lifetime he wrote over 80 tunes. Another of his tunes is Up on the Housetop.
Hope that helps! It's one of my favorite tunes.