I'm afraid I don't know anything about the antecedents of Lady Mary/ Palace Grand/ Sad Song.  All I can tell you is that the best-known set of it came from May Kennedy McCord of Springfield, Missouri; the song was noted from her in the 1930s by both Vance Randolph (Ozark Folk Songs) and Carl Sandburg (American Songbag), and again by Max Hunter some thirty years later.  You can hear a "field" recording of Mrs McCord singing it at the  The Max Hunter Folk Song Collection:

Palace Grand  As sung by May Kennedy McCord, Springfield, Missouri on October 21, 1960.

Other traditional sets have been found in Texas (William A. Owens, Texas Folk Songs) and from Evelyne Beers in Virginia in 1964 (Michael E. Bush, Folk Songs of Central West Virginia).  That information from Steve Roud's Folksong Index.

And I still can't help with the other song, unfortunately.  It's the sort of thing that ought to be at Levy, but it's not...