Hmmm. Looks like I'm stumped. I've got Traditional Ballads of Virginia and More Traditional Ballads of Virginia, both by Arthur Kyle Davis. All of the songs in these two books are Child Ballads that are easily found elsewhere, and I have to admit I have never used these two books.

Traditional Ballads of Virginia is a 1969 University Press of Virginia reprint of the 1929 Harvard book, but I don't see this song or a "Ghost Ballads" section.