Here's an interesting bit to mull over from James Hogg's The Mountain Bard (1807), pp. 96-102. I suspect this is one of the apocryphal references mentioned above by Robert Waltz, but worth including as it's the only one of any age I've found. It notably does not mention the Countess of Douglas writing letters to Liddisdale not to hunt.

THE DEATH OF DOUGLAS, LORD OF LIDDISDALE.

The first stanza of this Song, as well as the history of the event to which it refers, is preserved by Hume of Godscroft in his history of the House of Douglas. The author having been successful in rescuing some excellent old songs from the very brink of oblivion, searched incessantly many years after the remains of this, until lately, by mere accident, he lighted upon a few scraps, which he firmly believes to have formed a part of that very ancient ballad. The reader may judge for himself. The first verse is from Hume; and all those printed within brackets are as near the original as rhyme and reason will permit. They are barely sufficient to distinguish the strain in which the old song hath proceeded.

The Lady Douglas left her bower,
An' ay sae loud as she did call,
" 'Tis all for gude Lord Liddisdale
That I do let these tears down fall."

["O haud your tongue, my sister dear,
An' o' your weepin' let me be:
Lord Liddisdale will haud his ain
Wi' ony Lord o' Chrystendie.

"For him ye widna weep or whine
If you had seen what I did see,]
That day he broke the troops o' Tyne,
Wi's gilded sword o' metal free.

"Stout Heezlebrae was wonder wae
To see his faintin' vassals yield;
An' in a rage he did engage
Lord Liddisdale upon the field.

'Avaunt, thou haughty Scot,' he cry'd,
'Nor dare to face a noble fae;
Say — wilt thou brave the deadly brand,
And heavy hand of Heezlebrae?"

"The word was scarcely mixt wi' air,
When Douglas' sword his answer gae;
An' frae a wound, baith deep and sair,
Out fled the soul o' Heezlebrae.

"Mad Faucet next, wi' wounds transfixt,
In anguish gnaw'd the bloody clay;
Then Hallinshed he wheil'd an' fled,
An' left his rich, ill-gotten prey.

"I ha'e been west, I ha'e been east,
I ha'e seen dangers many a ane;
But for a bauld and dauntless breast,
Lord Liddisdale will yield to nane,

"An' were I call'd to face the foe,
An' bidden chuse my leader free;
Lord Liddisdale would be the man
Should lead me on to victory.

["O haud your tongue, my brother John!
Though I have heard you patientlie,
Lord Liddisdale is dead an' gone,
An' he was slain for love o' me.

"My little true an' trusty page
Has brought the heavy news to me,
That my ain lord did him engage
Where he could nouther ficht nor flee."

"Four o' the foremost men he slew,
An' four he wounded despratelie;
But cruel Douglas came behind,
An' ran him through the fair bodie.]

"O wae be to the Ettrick wood!
O wae be to the banks of Ale!
O wae be to the dastard croud
That murder'd handsome Liddisdale!

["It wasna rage for Ramsey slain
That rais'd the deadly feid sae hie;]
Nor perjur'd Murray's timeless death—
It was for kindness shewn to me.

["When I was led through Liddisdale,
An' thirty horsemen guarding me;
When that gude lord came to my aid,
Sae soon as he did set me free!]

"The wild bird sang, and woodlands rang.
An' sweet the sun shone on the vale;
Then thinkna ye my heart was wae
To part wi' gentle Liddisdale.

"But I will greet for Liddisdale,
Until my twa black een rin dry;
An' I will wail for Liddisdale,
As lang as I ha'e voice to cry.

"An' for that gude lord I will sigh
Until my heart an' spirit fail;
An', when I die, O bury me
On the left side of Liddisdale."

"Now haud your tongue, my sister dear,
Your grief will cause baith dule an' shame;
Since ye were fause, in sic a cause,
The Douglas' rage I canna blame."

"Gae stem the bitter norlan' gale;
Gae bid the wild wave cease to rowe;
I'll own my love for Liddisdale
Afore the king, my lord, an' you."

He drew his sword o' stained steel,
While neid-fire gleam'd frae ilka eye,
Nor pity, nor remorse did feel,
Till dead she at his feet did lye.

"O cruel man! what ha'e I done?
I never wrong'd my lord nor thee;
I little thought my brother John
Could ha'e the heart to murder me."

Sunk was her een, her voice was gane,
Her bonny face was pale as clay,
Her hands she rais'd to heaven for grace;
Then fainted, sunk, and died away.

He dight his sword upon the ground;
Wi' tentless glare his een did rowe,
Till fixing on the throbbing wound
That stain'd her breast of purest snow.

He cry'd, "O lady, fause an' fair!
Now thou art dead and I undone!
I'll never taste of comfort mair,
Nor peace of mind, aneath the sun!

"Owr mountains, seas, an' burnin' sand
I'll seek the plains of Italie;
Then kneel in Judah's distant land,
An' syne come back an' sleep wi' thee."