Why was it written? To whom? Burnett told a story abut waiting for a woman (presumably his wife) for eight hours at the train station; Norton spins a tale about being sweet on a Denver waitress. Despite the desire to getting nailed being the wellspring of most romantic tunes, neither of these anecdotes is likely. "My Melancholy Baby" is an inspired piece of hackwork.
So who sang it first? Bennett, the original publisher, claims he gave the debut performance of it at his club, the Dutch Mill at 811 16th Street, in 1912 -- not Frawley. Two original copies of the sheet music feature two different artists pasted into the cameo center of the cover – “That Singer,” Jack O’Leary, and “winsome June Le Vey.” At this point, the song was still titled “Melancholy.” It was changed to “My Melancholy Baby” in 1914, and a year later Bennett folded, selling the song to Joe Morris Music Company in New York. Burnett claims he convinced Sophie Tucker to sing it, which began its rise to popularity.