With regard to the line "Big St Louis is burnin' down", I thought I've heard this line given as "East St Louis is burnin down".

I went Googling and found this sentence in The PL Yearbook of Jazz 1946, Max Jones on The Blues, p. 5

"One personal song "East Chicago Blues" carres a passing reference to that tragic race disturbance which swept across East St Louis in 1919

" East Chicago's on fire, East St. Louis is burnin' down".

Here's information about that race riot which appears to have occurred in 1917 and not 1919 as noted above [unless there was another race riot in 1919]:

"East Saint Louis Race Riot of 1917   

(July 2, 1917)

Bloody outbreak of violence in East St. Louis, Ill., stemming specifically from the employment of black workers in a factory holding government contracts. It was the worst of many incidents of racial antagonism in the United States during World War I that were directed especially toward black Americans newly employed in war industries. In the riot, whites turned on blacks, indiscriminately stabbing, clubbing, and hanging them and driving 6,000 from their homes; 40 blacks and 8 whites were killed"...

http://www.pbs.org/wnet/aaworld/reference/articles/east_saint_louis.html