In 1935, Mercedes Steely collected a two-verse fragment titled 'Pretty Polly' from William W. Presley, in Ebenezer Community near Raleigh, North Carolina. ['Folk Songs of Ebenezer Community', masters thesis, University of North Carolina Chapel Hill, 1936.] It appears to be an early version of 'Across the Blue Mountain'. (Thanks to Phil and Mimi on Ballad Zoom.) The tune is lovely, but is not the one commonly sung. The lyrics are:

One morning, one morning, one morning in May
    I heard a married man to a single woman say,
“Pretty Polly, pretty Polly, come go along with me,
    I’ll carry you down the river to Kentucky.”

“I’ll buy you a horse and a saddle for to ride,
    I’ll buy me another and ride by your side;
And if you are the lady I take you for to be,
    I’ll carry you down the river to Kentucky.”