I have never seen any evidence for the claim that Harry was John Terry's great grandfather.

I edited it out of the Wikipedia page on John last year and made these comments on the associated discussion page:-

"I have edited out this reference which has been marked up for some months as requiring a citation "His great-grandfather, Harry Cox, was a noted traditional folk singer, featured in Lomax interviews.[citation needed]"

Harry Cox was a friend of my daughter's godfather in Norfolk, there seems no local tradition of a relationship to John Terry. Harry's only child to survive infancy as far as I know was Myrtle, she married Lenny Helsdon. A bit of cursory research suggests the names of John Terry's great grandparents were TERRY, WILLING, POWELL, CHESTER, CHURCH, LEWIS(?), BELL and HENESSEY(?). I will make a similar edit on Harry Cox's page. IainWallace (talk) 01:03, 18 October 2009 (UTC)"