It's related to The Grey Cock, or The Lover's Ghost.

The Grey Cock

    * (Trad - Child #248)

      I must be going, no longer staying
      The burning Thames I have to cross
      I will be guided without a stumble
      Into the arms I love the best

      And when he came to his true love's window
      He knelt down gently all on a stone
      And it's through the pane he has whispered slowly
      My darling dear, do you lie alone

      She's raised her head from her down-soft pillow
      And snowy were her milk-white breasts
      Saying, Who's that, who's that at my bedroom window
      Disturbing me from my long night's rest

      'Tis I your love, but don't discover
      I pray you rise and let me in
      For I am fatigued from my long night's journey
      Besides, I am wet unto my skin

      So this young girl rose and put on her clothing
      So swift she's let her true love in
      And it's there they kissed and embraced each other
      Through that long night they'd lie as one

      Then it's, Willie dear, o dearest Willie
      Where is your colour you'd some time ago
      O Mary dear, the clay has changed me
      I'm but the ghost of your Willie O

      Then it's, Cock, O cock, o handsome cockerel
      I pray you not crow before it is day
      And your wings I'll make of the very first beaten gold
      Your comb I will make of the silver grey

      But the cock he crew and he crew so fully
      He crew three hours before it was day
      And before't was day my love had to leave me
      Not by light of the moon nor light of the sun

      So my Willie dear, o dearest Willie
      When shall I see you again
      When the fishes fly, love, and the sea runs dry, love
      And the rocks they melt in the heat of the sun