Here's a slight ammendment on my theory about the line "sail away lady, sail away" referring to a dance movement.
Perhaps sometimes "sail away" as found in that song referred to a dance movement-as the line "steal away, ladies" apparently did {given Scarborough's notes}.
However, as in the version Cap't Bob posted, that line seems to refer to actual sailing.
But, then again, could that line mean "Get away, ladies, get away" meaning don't bother me because I'm going sailing?