From the recording Peggy-O
"Peggy-O" is an old Scottish ballad. It is sometimes called "Fennario" and probably derives from a ballad titled "The Bonnie Lass of Fyvie-O." A wealth of interesting information about the song can be found in Josephine A. McQuail's essay "Folk Songs and Allusions to Folk Songs in the Repertoire of the Grateful Dead," http://www2.iath.virginia.edu/sixties/HTML_docs/Texts/Scholarly/McQuail_Dead_01.html