Vance Randolph included this song in his Ozark Folksongs, vol. 4, p. 153-154, no. 698, with music, as "The Sad Song."
No Lady Mary is mentioned, either in the song or in Randolph's notes.
Randolph says "This piece has no local title, but Carl Sandburg, who heard it at Springfield, MO, in 1930, always called it "The Sad Song." "Sung by Mrs. May Kennedy McCord, Springfield, MO, May 14, 1934. Mrs. McCord learned it near Galena, MO, about 1900."
Here are the words in Randolph:

THE SAD SONG

He came from his palace grand,
And he came to my cottage door,
His words were few, but his looks will linger forevermore.
The smile in his sad dark eyes
More tender than words could be,
But I was nothing to him,
Though he was the world to me,
But I was nothing to him,
Though he was the world to me.

And there in his garden strolled,
All robed in satins and lace,
A lady so strange and cold
Who held in his heart no place.
For I would be his bride
With a kiss for a lifetime fee,
But I am nothing to him,
Though he is the world to me,
But I am nothing to him
Though he is the world to me.

Today in his palace grand
On a flower-strewn bier he lies,
With the beautiful lids fast closed
O'er the beautiful sad dark eyes.
Among the mourners who mourn
Why should I a mourner be?
For I was nothing to him
Though he was the world to me,
For I was nothing to him
Though he was the world to me.

How will it be with our souls
When we meet in that spirit land?
What the mortal heart ne'er knows
Will the spirit then understand?
Or in some celestial form
Will our sorrows repeated be?
Will I still be nothing to him,
Though he be the world to me?
Will I still be nothing to him,
Though he be the world to me?

Sandburg also called it "The Sad Song." Who added the Lady Mary?? For an unexplained reason, this has become the primary title in The Traditional Ballad Index (cufresno). Where did the DT version come from? Is it the Baez recording?