Not a folk song - 1934 lyrics by R P Weston and Bert Lee, music by Harris Weston - but a good number..

With Her Head Tucked Underneath Her Arm

In the tower of London, large as life
The ghost of Anne Bolyn walks, they declare
Poor Anne Bolyn was once King Henry's wife
Until he made the headsman bob her hair
Ah, yes, he did her wrong long years ago
And she comes up at night to tell him so

With her head tucked underneath her arm
She walks the bloody tower
With her head tucked underneath her arm
At the midnight hour

She comes to haunt King Henry, she means giving him what for
Gadzooks, she's going to tell him off for having spilled her gore
And just in case the headsman wants to give her an encore
She has her head tucked underneath her arm

With her head tucked underneath her arm
She walks the bloody tower
With her head tucked underneath her arm
At the midnight hour

Along the draughty corridors, for miles and miles she goes
She often catches cold, poor thing
It's cold there when it blows
And it's awfully awkward for the Queen to have to blow her nose
With her head tucked underneath her arm

Sometimes gay King Henry gives a spread
For all his gals and pals and ghostly crew
The headsman craves the joint and cuts the bread
Then in comes Anne Bolyn to queer the do
She holds her head up with a wild war whoop
And Henry cries "don't drop it in the soup!"

With her head tucked underneath her arm
She walks the bloody tower,
With her head tucked underneath her arm
At the midnight hour

The sentries think that it's a football that she carries in
And when they've had a few they shout "is Ars'nal going to win?"
They think it's Alec James instead of poor old Ann Boleyn
With her head tucked underneath her arm

With her head tucked underneath her arm
She walks the bloody tower
With her head tucked underneath her arm
At the midnight hour

One night she caught King Henry, he was in the canteen bar
Said he, "are you Jane Seymour, Anne Bolyn, or Katherine Parr?
For how the sweet san fairy ann do I know who you are
With your head tucked underneath your arm?"