As best as I can tell, I saw the Grateful Dead perform the song Peggy-O six times.  Listen to a great 1976 version here:
04-06-87    Meadowlands Arena, East Rutherford, N.J.

03-26-88    Hampton Coliseum, Hampton, Va.

09-11-88    The Spectrum, Philadelphia, Pa.

09-20-88    Madison Square Garden, New York, N.Y.

03-31-89    Greensboro Coliseum, Greensboro, N.C.

04-28-89    Irvine Meadows Amphitheatre, Irvine, Ca.

Here are the lyrics:

As we rode out to Fennario
As we rode out to Fennario
Our captain fell in love with a lady like a dove
And he called her by name pretty Peggy-O

Will you marry me, pretty Peggy-O
Will you marry me, pretty Peggy-O
If you will marry me, I will set your cities free
And free all the people in the area-O

I would marry you, sweet William-O
I would marry you, sweet William-O
I would marry you, but your guineas are too few
And I feel my mamma would be angry-O

What would your mamma think, pretty Peggy-O
What would your mamma think, pretty Peggy-O
What would your mamma think when she hears the guineas clink
And saw me marching at the head of my soldiers-O

If ever I return, pretty Peggy-O
If ever I return, pretty Peggy-O
If ever I return, all your cities I will burn
Destroy all the people in the area-O

Come stepping down the stairs, pretty Peggy-O
Come stepping down the stairs, pretty Peggy-O
Come stepping down the stairs, combing back your yellow hair
And bid a last farewell to young William-O

Sweet William he is dead, pretty Peggy-O
Sweet William he is dead, pretty Peggy-O
Sweet William he is dead, and he died for a maid
And buried in the Louisiana country-O

I always pictured myself as the commanding officer of an outfit of Yanks, descending on a plantation like Tara.  Even though I had earned the respect of my troops, my poverty could not impress the mother of the beautiful Peggy-O, and so my love goes unrequitted.  And I die shortly thereafter, with a broken heart.  But there is a longer history  to this song.

   “As I researched the song, I discovered it was listed in a venerable volume of collected folklore, English Folk Songs from the Southern Appalachians, collected by Cecil J. Sharp. The song seems to be Scottish in origin. The version performed by the Grateful Dead resembles that transcribed in Cecil Sharp’s book, but there are several variants. As is typical of folksongs, the place name given in the Dead version as “Fennario” is “Fernario” in Sharp’s version. As the song is passed down from person to person words become changed or transposed, just as the message in the children’s game of telephone gets more and more garbled as it is passed along. Sometimes nonsense syllables are substituted for what once were “real” words.

    “An even older, Scottish version of the ballad called “The Bonnie Lass O’Fyvie” appears in Folk-Songs of the North-East and another version is given under the title Bonnie Barbara, O, in Vagabond Songs and Ballads of Scotland. From even the titles of the songs it is apparent that the names “Fennario” and “Fernario” both probably originally derived from “O’Fyvie” and the name “Peggy-O” perhaps from “Barbara, O.” All of the versions considered together suggest the story of a love affair between a travelling enemy soldier and a local girl which is thwarted by the girl’s ambitious mother who wants a son-in-law with more money and a higher social status. Thus his declarations go from a promise of love for “Barbara, O” to threats against the locals’ lives when he returns from his next march. But he dies, heartbroken because of love for, respectively, “Peggy-O” and “Barbara O.” “Bonnie Barbara, O” is given the setting of Derby and is in dialect, but the story of the song is a bit clearer. When the soldier asks Barbara what her mother would think of her daughter’s marriage to an apparently well-to-do soldier, she replies:

        Little would my mammie think, bonnie Sandy, O,
        Little would my mammie think, bonnie Sandy O;
        Little would my mammie think though she heard the guineas clink.
        If her daughter was following a sodger, O.”

    “A Scottish version which found its way to the Southern United States is given in The Ballad of America. This version lacks the detail of the proud, angry mother. The setting of this version, “The Bonnie Lass o’Fyvie,” in other Southern American versions changes from “Fyvie” to local settings or is replaced by nonsense words like “Ivory” or “Ireo.”

        There was a troop of Irish dragoons
        Came marching down through Fyvie O;
        The Captain’s fallen in love with a bonnie, bonnie lass,
        Her name it is called pretty Peggy O.

        “O come down the stairs, pretty Peggy O,” he said,
        “O come down the stairs pretty Peggy, O,
        O come down the stairs, comb aside your yellow hair,
        Take the last farewell of your daddy, O.

Another version I found of “The Bonnie Lass Of Fyvie” has fuller lyrics:

    There once was a troop of Irish dragoons
    Come marching down thru Fyvie-O
    And the captain fell in love wi’ a very bonnie lass
    And he called her by name, pretty Peggy-O

    There’s many a bonnie lass in the glen of Auchterlass
    There’s many a bonnie lass in Gairioch-O
    There’s many a bonnie Jean in the streets of Aberdeen
    But the flower of them all lives in Fyvie-O

    Come trippin’ down the stair, Pretty Peggy, my dear
    Come down the stairs, Pretty Peggy-O
    Come trippin’ down the stairs, combin’ back your yellow hair
    Bid a long farewell to your mammy-O

    It’s braw, aye it’s braw, a captain’s lady for to be
    And it’s braw to be a captain’s lady-O
    It’s braw to ride around and to follow the camp
    And to ride when your captain he is ready-O

    Oh I’ll give you ribbons, love, and I’ll give you rings
    I’ll give you a necklace of amber-O
    I’ll give you a silken petticoat with flounces to the knee
    If you’ll convey me doon to your chamber-O

    What would your mother think if she heard the guineas clink
    And saw the haut-boys marching all before you-O
    O little would she think gin she heard the guineas clink
    If I followed a soldier laddie-O

    I never did intend a soldier’s lady for to be
    A soldier shall never enjoy me-O
    I never did intend to gae tae a foreign land
    And I will never marry a soldier-O

    I’ll drink nae more o your claret wine
    I’ll drink nae more o your glasses-O
    Tomorrow is the day when we maun ride away
    So farewell tae your Fyvie lasses-O

    The colonel he cried, mount, boys, mount, boys, mount
    The captain, he cried, tarry-O
    O tarry yet a while, just another day or twa
    Til I see if the bonnie lass will marry-O

    Twas in the early morning, when we marched awa
    And oh but the captain he was sorry-O
    The drums they did beat on the merry braes o’ Gight
    And the band played the bonnie lass of Fyvie-O

    Long ere we came to the glen of Auchterlass
    We had our captain to carry-O
    And long ere we won into the streets of Aberdeen
    We had our captain to bury-O

    Green grow the birks on bonnie Ethanside
    And low lie the lowlands of Fyvie-O
    The captain’s name was Ned and he died for a maid
    He died for the bonny lass of Fyvie-O