It's a great version of the song, and a very cool choice for this especially given the song's history. Which I never knew, in spite of always having been aware of the song itself, and always loving it
when I heard a variation of it.
"In the Pines", also known as "Where Did You Sleep Last Night?" and "Black Girl", is a traditional American folk song which dates back to at least the 1870s, and is believed to be Southern Appalachian in origin. The identity of the song's author is unknown, but it has been recorded by many artists in numerous genres. Traditionally, it is most often associated with the American folk and blues musician Lead Belly, who recorded several versions in the 1940s, as well as the American bluegrass musician Bill Monroe, who helped popularize the song (in a different variant, featuring lyrics about a train) among bluegrass and country audiences with his versions recorded in the 1940s and 1950s.
So, it goes back into the nineteenth century. And I think that it has such a rich history of being performed again and again is because, aside from the melody being memorable and beautiful, the lyrics are so haunting. It's one of the cases in which a mystery endures better than any explanation of it ever could (Gaiman was spot on when he wrote that one). Those four lines of lyrics open up a deep abyss of death and loneliness and sadness, and one that coupled with that melody will stay with you and haunt you.