"Canada-I-O" (also known as "Canadee-I-O" or "The Wearing of the Blue") is a traditional English folk ballad (Roud 309).
[2] When her love goes to sea, a lady dresses as a sailor and joins (his or another's) ship's crew.
Based on similarity of title, some connect this song with "Canaday-I-O, Michigan-I-O, Colley's Run I-O".
There is no connection in plot, however, and any common lyrics are probably the result of cross-fertilization.
The Scottish song "Caledonia/Pretty Caledonia" is quite different in detail — so much so that it is separate from the "Canada-I-O" texts in the Roud Folk Song Index ("Canaday-I-O" is #309;[3] "Caledonia" is #5543).