I have been listening to a very lovely rendition of this song under the title 'Palace Grand'. It is the last track on Ginny Hawker 'Letters From My Father' Rounder CD 0491. Ginny's note says that it is 'a variation of the Scottish song "Lass of the Low Country"', but I can't see that. She learned it from the singing of Evelyn Beers at the 1964 West Virginia State Folk Festival in Glenville, WV. The lyrics of this version, with minor changes, are the same as 'The Sad Song' [Randolph] as posted by Dicho and Joe.

--Stewie.