I wondered that myself. Couldn't find it. I think they've compiled it from several sources. I'm going to email them to ask. The stuff from the Sacred Texts website is from a very respected source, though.
In my Katherine Briggs' Dictionary of Fairies, I've got William Henderson (who did the writing that's on the sacred text archive, in his Folklore of the Northern Counties), and that says <i>he</i> got the general details from the 1834 'Bishoprick Garland' by Sir Cuthbert Sharpe;s prose version.
Er if that;s the answer?