It's not a ballad, but I adore "A Bhean Ud Thios" for its story. It's several centuries old and sung from the point of view of the storyteller, a woman who has been abducted by fairies and held prisoner for a year in their fort beneath a hill.
She describes many fine and terrible things beneath the hill. She is singing instructions to a sympathetic listener, who must pass the instructions along to her husband so he can free her tomorrow, one year and one day since her abduction. If he fails to rescue her by the end of the day, she will be trapped beneath the hill forever.
There are other women trapped alongside her, and she ends the song explaining that if her husband fails, she "will be made queen of these women." What, exactly, her role as queen of the captive women would entail is unclear, but it can't be a desirable position.
What makes the song especially eerie is that it's disguised as a lullaby. As she gives her instructions to the listener, the singer stands near a stream, rocking a fairy baby to sleep in her arms. Between each line, she sings, "Seothu leo, seothu leo," a lulling lyric to the baby, so any nearby captors might dismiss her song and miss the truth that she's planned her escape.