Richie - the Roud index has 34 entries for Katie Morey (#674) and all appear to be from the USA.

Roud lists 6 entries for The Baffled Knight (#11) with Place Collected as USA (this may not get all of them - there are, IIRC, 157 entries in total and they may not all have the place collected). The 6 are:

Bulletin of the Folksong Society of the Northeast 12 (1937) p.12, collected Barry, 1936, Cambridge, MA

Coffin, Brit. Trad. Ballad in N. America (1977 edn.) pp.99-100, 246-247         - references/discussion only

Wilgus: Kentucky Folklore Record 3:3 (1957) pp.91-92, 108, collected Brown, 1949, McCracken County, KY

Moore, Ballads & Folk Songs of the Southwest pp.84-86, collected E & C Moore, nd, Stilwell, OK

Flanders, Ancient Ballads Traditionally Sung in New England 3 pp.89-99 (version a), ex Green Mountain Songster (1823)

Eddy, Ballads & Songs from Ohio pp.64-65, collected Eddy, nd, Perrysville, OH


(If you're interested there's a used copy of the Moore's book for ca $9 + $3 pp on amazon at the moment)

Mick