First time I heard it was on a Radio Eireann show called "The School Around the Corner" hosted by Paddy Crosby. The show consisted of getting little kids (usually inner city)up for a brief interview and then they do a song or a "pome". A kid came up with this ballad and had the audience in stitches.

The format often asked the kid to tell of a "funny incidence" and one kid came up with this (I heard about this indirectly, so I hope its not a wind up)

Kid: "There wuz a horse and it fell down a hole, and they had to shoot it"
Paddy: "and where did they shoot it?"
Kid: "In the hole"