"Lady Isabel and the Elf Knight" is Child #4. This American version of the well known Bluebeard tale is a favorite with audiences and I often hear spontaneous applause when the bad guy gets his due. Because this version is American, the heroine has been renamed Polly instead of Isabel (there are a lot of Polly's in American versions of the old ballads). There is no mention of Lord Henry being an elf but he certainly is evil (not at all a Tolkien good-guy immortal elf and far from one of Santa's helpers).
I learned my version from Lomax's Folk Songs of North America and the singing of Michael Cooney. I sing this a capella but have included guitar chords anyway.