There are two versions in the Digital Tradition.

MACPHERSON'S FAREWELL
is the Burns version.

MCPHERSON'S LAMENT
is apparently from Jeannie Robertson

There is also a thread, "Origins: The story behind MacPherson's Farewell."

Most people, these days, know the Burns version, but the tune is basically the same.

Very little about the song can be verified except that:
1. James MacPherson was a freebooter
2. He really did play violin
3. He was hanged in 1700