My gran taught me this one, and I had it down as Boer War, She was a schoolgirl at the time.
They were also taught a poem in class which started:-

Lord Roberts and Kitchener, Baden-Powell and White
All went off to South Africa to have a jolly good fight!

Unfortunately, I can't remember any more except the end which was:-

And when the war is over, how happy we all will be,
The flag will fly over Pretoria and Kruger will hang from a tree!

No messing in those days!

Returning to 'Dolly Gray', I remember hearing Ian Wallace sing it once, finishing with the bravura declaration 'Goodbye DORIS DAY!!'

FC