All these years later, is anyone still looking for an answer to the question?

I haven't heard the source, but Clinton Heylin says (in 'Dylan: Behind Closed Doors', Penguin, 1996) that "although Dylan was performing Gypsy Davey as early as 1961, this version of the well-known traditional yarn of infidelity was almost certainly taken from Mike Seeger's 1988 recording (on 'Fresh Old Time String Music')."