Does Loreena McKennitt name her source?  The references I've found to her recording say only "traditional, arranged and adapted by".  In fact, the text she uses is very close to early 19th century broadside versions, two of which may be seen at  Bodleian Library Broadside Ballads:

The banks of Claudey  Printer and date unknown.

The banks of Claudey  Printed between 1820 and 1824 for W. Armstrong, Banastre Street, Liverpool.

Malcolm