There all sorts of locations named in different versions of Child 2, including (in addition to Scarborough / Whittingham fair): 'Strawberry lane' (Maine), 'Bonny Moor Hill' (Ulster) 'The seaside' (Waterford), 'The Tri-Coloured House' (Leitrim) and 'Yondos Town' (Arkansas).

'Lynn' in North American versions probably derives from the Scots 'Lyne', as in 'Did ye ever travel twixt Berwick and Lyne?' (Child 2F, collected 15 miles South of Glasgow in the 1820s - see Tootler's link above). 'Cape Ann' could have been added later to give local colour and rationalize the reference to Lynn, although Child 2J - from Massachusetts - referes to Cape Ann but not to Lynn.

Helen Hartness Flanders recorded in Vermont a version that began: "Where are you going, I'm going to Linn", but introduced the second lover's tasks with: "Where are you going, I'm going to Japan". All of which makes me think that the location isn't terribly important to this ballad.

The North American versions of Child 2 - usually found there in its 'Cambric Shirt' rather than 'Elfin Knight' form - are mostly from the North East. Unlike many Child ballads, it's relatively uncommon in the Appalachians.