"Lady Gay" is an American version of "The Wife of Usher's Well", also known as "The Miracle at Usher's Well". The theme of the ballad is that persistent mourning disturbs the sleep of the dead. Another ballad on the same theme is "The Unquiet Grave".
In European versions, the wife sends her sons away "to learn their grammery", i.e.: socerery. The boys die while away and the mother mourns excessively. At Martinmas (historically called "Old Halloween" or "Old Hallowmas Eve", the feast day of Saint Martin of Tours, celebrated on November 11th) the sons return as revenants, not in flesh and blood and cannot eat or sleep as mortals and must return to their graves at day break.
In most American versions of the Child ballads, supernatural motifs disappear, except where, as in the case of "Lady Gay", there are religious overtones to the ballad tale.
It first appears in print in Scott's Minstrelsy of the Scottish Border (1802). Scott collected his tune in West Lothian.
It was printed in Francis J. Child's The English and Scottish Popular Ballads as #79, Ella Leather's The Folk-Lore of Herefordshire (1912), British Ballads and Folk Songs from the Joan Baez Songbook and The Joan Baez Songbook (1964).
It was recorded by John Roberts and Tony Barrand on Dark Ships in the Forest (1977). Their version was collected as "There Lived a Lady in Merry Scotland" by Ralph Vaughan Williams from Mrs. Loveridge at the Homme, Dilwyn, Herefordshire, in 1908, Buell Kazee (78RPM) (1928), John Jacob Niles on Victor 2173-A (78RPM) (1941), Jean Ritchie on Traditional British Ballads vol 2 (1961), George & Gerry Armstrong on Simple Gifts (1961) (as "Lady from the West Country"), Peggy Seeger on A Song For you and Me (1962), Hedy West on Old Times and Hard Times (1965), Ewan MacColl on The Long Harvest Vol 5 (1967), The Chieftains on Further Down the Old Plank Road (2003) (as Three Little Babes), Steeleye Span on All Around My Hat (1975) and many others.