Hi, Georgina -
The version of Jock Sheep (Child 112) in the Digital Tradition is even more clear about the knight being seen as a woman:

He's taen a mantle him about
wi' a cod* upon his wame*;
And he's on to gude greenwud
Like a lady in travelling.

Then word's cum to her father's castle
And thro' the ha' it's gane
That there was a lady in gude greenwud
And she was a-travelling.

-Joe-