Musgrave used to be a halt on the Eden Valley railway between Brough and Appleby.
It was in Westmorland then, before that county was abolished.

There is a version of the ballad entitled Lord Darlington & Little Musgrave which may (or not) be where Fairport got Lord Darlen from.

[Just been waiting almost two hours while Virgin idiots dug up the road to restore my broadband in order to post almost the same as Sminky].