I first came across "Nellie Gray" when browsing through Geoffrey Brace's Something to Sing. This is a popular American ballad of the nineteenth century based on the true story of a white American soldier whose Negro bride was taken from him, back into slavery. It's very sad, cheerless stuff indeed and pretty melancholy. Just consider the third verse:
   "My eyes are getting blinded and I cannot see the way.
    Hark, there's somebody knocking at my door!
    Oh, I hear the angels singing, and I see my Nellie Gray!
    Farewell to the old Kentucky shore.

Lyrics