Does anyone have any proof of the song before 1898 when it was copyrighted?
It was composed just in time for both the Spanish-American War and the Boer War.
See the sheet music covers and hear Harry MacDonough (linked once before, above) sing it. Good-bye Dolly Gray

Note the similarity in pose and faces of the soldier and the girl but differences in uniform for the American vs. Spanish and British-Canadian vs. Boer wars.
The March sheet music came a little later.