The Traditional Ballad Index doesn't have much on this song, and I can't find it in the Digital Tradition. Here's what the Ballad Index says:

Rout of the Blues

DESCRIPTION: The Blues have their orders and parade to the ship, rigged and ready to sail. "Lasses ... crying and tearing their hair" run home to mother and say they'll pack up and "march with the blues." All drink and cheer "success to King George and his Blues"
AUTHOR: unknown
EARLIEST DATE: before 1839 (broadside, Bodleian Harding B 16(285d))
KEYWORDS: army farewell ship drink nonballad
FOUND IN: Britain(England(West))
REFERENCES (1 citation):
Reeves-Sharp 82 (Idiom of the People), "Rout of the Blues" (2 texts)
Roud #21098
BROADSIDES:
Bodleian, Harding B 16(285d), "Success to the Blues" ("As I was going down Rosemary-lane"), J. Catnach (London), 1813-1838; also Harding B 15(321a), "Success to the Blues"
NOTES: "The Blues" are the "Royal Horse Guards." "In 1750 the regiment became the Royal Horse Guards Blue and eventually, in 1877, The Royal Horse Guards (The Blues)" (source: Wikipedia, "Royal Horse Guards"). - BS
Last updated in version 2.6
File: ReSh082

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The Ballad Index Copyright 2016 by Robert B. Waltz and David G. Engle.

Alan Reid and Rob Van Sante have a very good (and free) recording of the song on this page:

http://www.reidvansante.com/download-selection.htm>http://www.reidvansante.com/download-selection.htm

They were right here, 12 miles from my home, last month - and I was too tired to go out that night. I'm still kicking myself for missing that concert.
I'm trying to remember a song that uses the same melody. It has a lot of ornamentation on the last word of the last line, and then repeats the last line without ornamentation. It sounds almost like the Christmas carol "Gesu Bambino" (When Blossoms Flowered 'Mid the Snows), but not exactly. What's the song I'm thinking of?

-Joe-

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Here's the entry on this song from folkinfo.org (click)