Attaching van Zandt's Pancho to Francisco Villa is nonsense, of course. Anyone named Francis, Francisco Franklin or variations always ends up as 'Pancho' in New Mexico, northern Mexico, south Tejas or Arizona. Dunno when that started, but I think it was before Villa. It is also a surname.
As an anglo named F-, raised in that area, non-anglo schoolmates called me Pancho. When I went to university in Texas, I thought I had shed the name, but an old mate out of my home town also went there, and when he spotted me, he shouted "Pancho!" Well, I didn't get rid of Pancho until I went to gringo country and joined a multinational. My Pancho didn't die in Cleveland, but nearer Chicago.

Guest and Joe, thanks for bringing the song up top again.