The original is William Jerome's "He Never Came Back" (1891). Two sheet music editions are at the Levy Collection.

Title: He Never Came Back. Comic Song.
Composer, Lyricist, Arranger: Written and Composed By William Jerome.
Publication: Montreal: Walter Street, 29 Bleury, & 2326 St. Catherine, n.d..

Title: William Jerome's Best. He Never Came Back.
Composer, Lyricist, Arranger: Words and Music by William Jerome.
Publication: Boston: Oliver Ditson Co., 1892.

There's another song titled "I Went to See the Barnum Show" at the Wolf Collection.