There are lots of versions of The Grey Cock, but most of them are straight "night visiting" songs, with no supernatural elements involved; such elements seem to have been borrowed from other songs, typically the Irish broadside ballad Willy O. Dave's text, posted at Lyr Add: The Grey Cock (NOT Penguin version) is, I'm afraid, the "Penguin" version with a few words changed, even if it was recorded by Bert Lloyd (who later put it into the Penguin book, of which he was one of the editors) before that book was compiled.