Gypsy, can't figure out why you feel the verses are sad, maybe it's the "Before we close the minstrel show" feeling in the second verse, where it says, "The old banjo hangs on the wall, cause it ain't been tuned since way last fall"? But the singer makes it very clear that he or she expects to have an even better time where they're going, i.e. to heaven.
When you say you're looking for "the story behind the song," do you mean, what is the song saying, or why was it written?
I have always assumed that the golden slippers, the long-tailed coat, the long white robe, etc, were a tongue-in-cheek reference to the fact that most African Americans in the 1880's could not possibly afford such things in this life, -- but hoped that they would have them, or anyway something equally fine and satisfying, in the next. And in the second verse, it says, "What a great camp meeting we will have that day," which to me is saying that there will be singing and praying in heaven that will be better and more joyful than anything on earth.
Um, have I just stated the obvious, or is this a little of what you're looking for?