"If he committed this theft after 1701" I'd always thought of it as a Border Ballad though maybe I'm biased being from this area. Generally in the Border versions he's taken to Carlisle after having been captured by Lord Scrope for the stealing of the Bishop of Carlisle's horse in retaliation for the said bishop's affair with his wife. Scrope was a 16thC character. One of the wardens on the English side. I don't know if Hugh actually existed but the Grahams were certainly very common, and still are, in the Borders.