The question has indeed come up in previous discussions; the search engine isn't working for the Forum at present, though. F.J. Child (English and Scottish Popular Ballads, vol.V. p.355, Glossary), states:

"hoky-gren (burnt like, II, 145, A, 27: hoakie, "a fire that has been covered up with cinders, when all the fuel has become red." Jamieson. A branch or stem in such a fire? or good to make such a fire with? Scott has, hollins grene."

Hollins is holly, of course. Martin Carthy, who borrowed the lines for his re-write of The Famous Flower of Serving Men, apparently says that hoky is hawthorn, but I don't know where he got that from.

"May Catheren" appears in Child's example A (from David Herd's MS); she is the servant who the villainess tries to fit up for the murder. In other versions she is unnamed, but appears in example J (Scott) as "my may, Catherine", so May is either the first part of her name or her job-description (or, indeed, both).