The song is generally considered to be of Irish origin, but it was by no means restricted to that country, and has been found in Scotland (Jeannie Robertson, Belle Stewart) and the South of England (for example, The Lake of Colephin, collected by the Hammond brothers from George Hatherhill of Bath in 1906).  As mentioned above, there are two American versions on the DT:

The Lakes of Col Flynn
The Lakes of Col Fin

Laws Q33
DT #541
@death @lake

Other titles:

The Cruel Lake of Wolfrinn
(Lament for) Willie Leonard
Willie Lennox
The Lakes of Shallin/ Shilin/ Shillin
The Loch of Shallin
Young Willie

There are apparantly also American versions localised to Lake Champlain.

There is an entry at  The Traditional Ballad Index:
The Lake of Cool Finn (Willie Leonard)

There is a version at Lesley Nelson's  Folk Music  site:
Lake of Coolfin  which gives a related tune with a quite different lyric, but some useful background information.

As Bruce mentions above, there are broadside versions at  Bodleian Library Broadside Ballads.  Particularly worth looking at are:

A new song, called William Leonard  Printed by Haly (Cork) 18-
The Lakes of Cold Finn  Printed between 1863 and 1885 by H. Such of London.
Willie Leonard  Printed between 1850 and 1899 by T. Pearson of Manchester.

Bruce also has some references at his website:  Some Irish Folk Songs in Journals  to versions published in the Journal of the Irish Folk Song Society.

Peter Kennedy (Folksongs of Britain and Ireland, 1975) gives a version collected by Seamus Ennis from Mary Reynolds of Mohill in Co. Leitrim, in 1954:  The Lakes of Shallin.  From the notes:

"The anglicisation of what must have been a Gaelic name has resulted in many different names for the lake in which Willie Leonard was drowned, and therefore many different titles of the song...
Sam Henry's... version (Willie Lennox), from Co. Derry, throws more light on the situation; the lake is Loughinshollin.
It is a most interesting point in topography that the hero of the song was drowned in the lake (no longer on the map) which gives its name to the Barony of Loughinshollin (the Lough of the Island of the O'Lynns).  The O'Lynns (originally O'Flynns -the F, being aspirated, is not sounded) were a powerful sept who, in the 6th. century and from A.D.1121 onwards, occupied a territory comprising the modern baronies of Lower Antrim, Lower Toome, Lower Glenarm and Kilconway, on the east side of the River Bann.  The lough was probably an expansion of the river not far north of Lough Beg."

Malcolm