I'm going to contradict myself here...

A year before McTell recorded "statesboro blues" (1928) Bobby Grant recorded "Nappy Head Blues" (1927) which includes the lyrics:

When you hear me walkin', turn your lamp down, turn your lamp down, lamp down low
When you hear me walkin', turn your lamp down low
When you hear me walkin', turn your lamp down low
And turn it so your man'll never know

Nobody seems to know much about Grant, or where he was from, but the only other song he recorded was "Lonesome Atlanta Blues" which suggests at least some familiarity with Atlanta, Willie McTell's adult home.

Could McTell have taken the lines from Bobby Grant? "Nappy Head Blues" certainly suggests a more profane interpretation of "turn your lamp down low."