Some people have drawn analogies (or, somewhat more tenuously, actual connections) between this event and the tale of the Pied Piper of Hamelin. See, for example, the Encyclopedia Britannica's brief articles on Nicolas of Cologne, the Children's Crusade, and the Pied Piper.

This is a nice site dedicated to the Pied Piper tale, which mentions the Children's Crusade as one of several possible roots for the story.

If you're interested, a Google search on "Pied Piper" and "Children's Crusade" turns up lot's more.

Sorry - can't help with the ballads, but I'll be checking back to see if any more turns up along those lines.

Wendy