Fiolar,
well, some truth perhaps. Maximilian was shot in 1867 and the song was composed in 1860. There was already a German version of that song in 1867 and it might have been one of the favourite songs of the emperor and his wife Charlotte. Chalotte lived until 1926 (she became insane when she was unable to summon European help for Maximilian to prevent his death) and the song might have been her favourite song (it is in German a song of death and parting). I think more than that is speculation.

There is another story about this song: That is was forbidden to be played on all ships of the Austrian Navy for a considerable time (Maximilian was Austrian Navy officer). I also don't know whether that is true.

Wolfgang