From: James Kinsley, The Poems and Songs of Robert Burns, vol. 3 (Oxford, 1968, pp. 1423-1425):

Thomson invited contributions to SC from 'Peter Pindar'--
John Wolcot (1738-1819), 'a contemptible scribbler [who], having
disgraced and deserted the clerical character . . . picks up in London a scanty livelihood by scurrilous lampoons under a feigned name' (Boswell, Life of Johnson, v. 415-16, note; cf. Epistle to Peter Pindar in English Satiric Poetry: Dryden to Byron, ed. James Kinsley and J.T. Boulton, 1966, pp. 160-8). His first offering was Lord Gregory:

Ah ope, Lord Gregory. thy door,
A midnight wanderer sighs,
Hard rush the rains, the tempests roar,
And light'nings cleave the skies.

Who comes with woe at this drear night--
A pilgrim of the gloom?
If she whose love did once delight,
My cot shall yield her room.

Alas! thou heard'st a pilgrim mourn,
That once was priz'd by thee:
Think of the ring by yonder burn
Thou gav'st to love and me.

But should'st thou not poor Marian know,
I'll turn my feet and part;
And think the storms that round me blow,
Far kinder than thy heart.

(Currie, iv. 39-40.) 'The Scots verses printed [in SMM] with that air [Lord Gregory]', Thomson wrote to Burns, 'are taken from the middle of an old ballad, called, The Lass of Lochryan, which I do not admire. I have set down the air therefore as a creditor of yours' (ibid. iv. 35). Burns knew at least one version of The Lass of Lochryan (in Herd's collection; see infra), and his gorge must have risen over Pindar's song. But he tactfully pronounced it 'beautiful', and offered Thomson his own 'set of Stanzas in Scots, on the same subject': 'My Song,' he said carefully, 'though much inferiour in poetic merit, has I think more of the ballad simplicity in it' (Letter 535; 26 January 1793).
The earliest surviving version of the ballad on 'fair Isabell of Rochroyall' is in Elizabeth Cochrane's manuscript song-book, made up in the early eighteenth century (Child no. 76A); another is in Herd
(i. 149-53); Jamieson had a third from oral tradition (Child, no. 76D); and a fourth was contributed by Burns's friend Alexander
Fraser Tytler to Scott's Minstrelsy (1803, ii. 49; Child, no. 76E).
The Cochrane version, which is the fullest, opens with Isabell's
dream of her lover, Lord Gregory. 'Banisht from kyth and kin', she
rides to Gregory's castle and begs admission. Gregory's mother answers for (and as) her son, and tells Isabell that he is at sea. Isabell goes away, lamenting; Gregory dreams that she is at the door, discovers his mother's treachery, and sets out to find his love. He meets up with her funeral, and dies of grief.
Burns takes over Pindar's romantic setting in ll. 1-4; he works for
the simplicity of folk-song rather than for 'the ballad simplicity' in ll. 5-16; but he comes as close as Pindar to English convention in the rest of the song. The air, described by Stenhouse as 'a very ancient Gallowegian melody' (Illustrations, p. 3), was first published in SMM, 1787, no. 5* with four stanzas of the ballad ('Oh open the door, Lord Gregory'). [...]

~Masato