It's a common story here in Texas and, in the U.S. at least, it overlaps a lot with the various vanishing hitchhiker tales (including the girl in the white dress, and the woman who haunts the bridge where her baby drowned/was washed away). I think that anywhere that has a sizable Latino population has its own local variants. The version I learned was that she was a tribal princess of Mexican Indian descent and her lover was a Spanish noble. He would not marry her because she wasn't of European ancestry so she killed their children (stabbed and/or drowned) and was later hanged for the crime.