Aunt Judy's Magazine: “Aunt Judy’s Christmas Volume for 1872” (Volume 10), edited by Mrs. Alfred Gatty (London: Bell and Daldy, 1872)

contains “The Peace Egg: A Christmas Tale” by J. H. Ewing, starting on page 98. The story contains the one line “A mumming we will go” quoted from the song, on page 115. This is apparently the first printing of that story and the first printed identifiable reference to the song by that name. The story was reprinted in several books, one of which is:

The Peace Egg, and a Christmas Mumming Play, by Juliana Horatia Ewing (London: Society for Promoting Christian Knowledge, [1887])

This book contains a more thorough commentary. Ewing says (on page 40):

“The following Christmas Mumming Play is compiled from five versions: The ‘Peace Egg,’ the ‘Wassail Cup,’ ‘Alexander the Great,’ ‘A Mock Play,’ and the ‘Silverton Mummer's Play’ (Devon), which has been lent to me in manuscript.

“The Mumming Chorus, ‘And a mumming we will go,’ etc., is not in any one of these versions, but I never saw mumming without it.”

At the end of the play (on page 58), the following chorus is given, along with a notated tune:

And a mumming we will go, will go,
And a mumming we will go,
With a bright cockade in all our hats,
We’ll go with a gallant show.

A Glossary of Words Used in the Neighbourhood of Sheffield, edited by Sidney Oldall Addy (London: English Dialect Society, 1888), page 153.

MUM, v. to go mumming or masking.

In the villages about Sheffield a play called St. George and the Dragon is acted at Christmas by mummers. They have rude swords, made apparently by the rudest of village blacksmiths, and they are dressed in all sorts of bright colours and ribbons. The play which they act is contained in a little chap-book printed at Otley in Yorkshire, the title of it being 'The Peace Egg.' In this neighbourhood the following verses, which do not appear in the printed chap-book, are always sung at the end of the play:—

Come all ye jolly mummers
    That mum in Christmas time,
Come join with us in chorus;
    Come join with us in rime.
            And a mumming we will go, we'll go,
                And a mumming we will go,
            With a white cockade all in our hats
                We'll go to the gallant show.

It's of St. George's valour
    So loudly let us sing;
An honour to his country
    And a credit to his king.
            And a mumming we will go, we'll go,
                And a mumming we will go;
            We'll face all sorts of weather,
                Both rain, cold, wet, and snow.

It's of the King of Egypt
    That came to seek his son;
It's of the King of Egypt
    That made his sword so wan (sic).
            And a mumming, &c.

It's of the black Morocco dog
    That fought the fiery battle;
It's of the black Morocco dog
    That made his sword to rattle.
            And a mumming we will go, we'll go,
                And a mumming we will go,
            With a white cockade all in our hats
                We'll go to the gallant show.