This song is from the Ozarks. It appears in Vance Randolph's Ozark Folksongs. This version was sung by May Kennedy McCord, Springfield, Missouri, May 14, 1934. Mrs. McCord learned it near Galena, Missouri, about 1900. When Randolph recorded Mrs. McCord singing this in 1941, she titled it "Lady Mary." Max Hunter, who also recorded her rendition of the song, used the title by which his mother had sung it "Palace Grand". This piece has no local title, but Carl Sandburg, who heard it at Springfield, Missouri, in 1930, always called it "The Sad Song". The origins of this song have not been traced, but it would appear to be a sheet-music composition of the 1880s or 1890s. Evelyn Beers learned it from May Kennedy McCord and has sung it frequently. Joan Baez also recorded the piece; she learned it from Randolph's text. It was also recorded by Cathy Barton and Dave Para on their album Ballad of the Boonslick. I learned it from the Joan Baez recording and The Joan Baez Songbook.