Here's the story: In 19th century England, a young woman, a gypsy and outcast, falls in love with the son of the parish priest. They are forbidden to marry and she dies of a broken heart (i.e. jumps off a cliff, takes poison, or pines away). Very romantic. It seems that Patrick Wolf ran across this story when researching his family background and finding a cross with the name Damaris among his ancestors' graves.
The explanation I've read about the story is a little confusing. I think he means the Anglican Church and not the Catholic Church, since the man was the son of a priest. Catholic priests may have been procreating for centuries, but they didn't usually publicly recognize their children and worry who they married. Also, if she were Catholic and had killed herself or if she were completely outside the faith, she wouldn't have been buried on consecrated ground with the rest of the family. I don't know if Anglicans have consecrated ground. You tell me.
But anyway, who cares. This is such a beautiful song and I think of Heathcliff and Catherine or Tess and what's his name. Different part of England, but it really reminds me of Wuthering Heights - the man crying out for his dead beloved.