Not from Harry Cox, I think; his words were rather different. Though his tune is related to the one Steeleye Span used, it isn't that close. I've a vague idea that they used a set that Seamus Ennis recorded in Ireland in the 1950s, but I may be quite wrong.

Here's something to try on Bert Lloyd's source. In a note appended to a set found by Cecil Sharp and Maud Kerpeles in Herefordshire (Journal of the English Folk Dance and Song Society, vol 8 no 4, 1959, 197-199, Lloyd mentions that "Herbert Hughes prints a version called 'Tigaree Torum Orum' in Irish Country Songs, Vol IV". I don't have a copy of that, but I think it was re-printed not so long ago. Lloyd did get material from Hughes occasionally, it seems. Have a look at it.