From the Blankenship broadside:

John Henry's woman heard he was dead,
She could not rest on her bed,
She got up at midnight, caught that No. 4 train,
"I am going where John Henry fell dead."

In reviewing work on "Casey Jones," I've been reminded that Cayce was killed as he drove the Illinois Central's train No. 1, the Cannonball Express. No. 1 ran south from Chicago to New Orleans. No. 4 was the return trip, running north over the same route. Cayce was the engineer for a section of each of these runs.

John Henry is said to have been born a slave near Raymond, Crystal Springs, and Jackson, Mississippi. Presumably, many of his friends and relatives lived there. I don't know when the IC put in the Memphis-New Orleans run and started calling it "No. 1" and "No. 4," but if it was as early as 1887, then it is plausible that someone might have started a train trip from Crystal Springs, MS, which is on the IC line, to Birmingham, AL, by staring north on the Cannonball, the No. 4 train, just as the Blankenship broadside says.