There’s a Nick Cave & The Bad Seeds album by that name, but that was named after a genre of music. That album is largely inspired by this kind of music, in fact.
Basically, we are talking about traditional ballads dealing with crime, but it goes deeper than that.
These songs are in many ways exploitation. They tell tales of true or mythic crimes and are in many ways predecessors of yellow journalism. For example, there’s a collection of these songs called People Take Warning! Murder Ballads & Disaster Songs 1913-1938. You can find it on Spotify. You’ll note the years. Although there was journalism, certain news didn’t necessarily travel that well and thus these songs became the way people learned about various incidents. If you can get your hands on the physical version, you should, because it includes a lot of information on this stuff, including a short article by Tom Waits about how this music has inspired him.
Of course, this also meant many of the details were exaggerated, sometimes wildly so. Since the songs didn’t travel as fast as they do now, they would often reach the listeners months after the crime happened, so embellishing the story was a way to keep the interest up. The amount of victims would grow, they deeds would become bloodier, and there would even be weird changes to details, such as a knife becoming a Gatling gun. There wasn’t exactly a Google to check with anyhow. This is the same way HH Holmes reportedly killed a thousand people, when the actual number of killings he was convicted for was nine (although in this case, these were largely just outright lies by the press). If they can’t check, it doesn’t really matter what you say.
The tradition of these songs are much older than the aforementioned 1913. There just aren’t recordings before that (well, there might be, but I’m not aware of them). Stories of various people in the wild west have similar origins. In The Assassination of Jesse James by the Coward Robert Ford, Nick Cave has a cameo singing a song about the killing referred to in the title of the movie. People have always had a morbid curiosity about these things.
So, how do you use these in your games?
There’s worldbuilding. Want to make sure your players understand how uncaring the local population is? Have them be laughing at such a song, which might include gory details about murder of children. Just the existence of these songs tells you a lot. Where we are technically, what does the population want to hear about, what’s the listener supposed to learn (these songs often end with the killer being killed or going to jail) and so forth.
There might also be a hint in there somewhere. You can give weird information in there, because it’s mostly just hearsay anyhow and the singer has added their own twists into it, because they think that’s what people want to hear. They might now more if you talk to them, or they might know the person who wrote the song originally and the characters might want to track him down.
Or, you can just have fun with it. Maybe the characters hear a song about themselves one night in the tavern. How will they react? Do they think it’s funny? Do they use that as advertisement? Do they want to stop it? It’s a different way to explore them. It’s a mirror they can see their characters through in a way that’s hard to produce otherwise.