From Thomas Crofton Croker's 'Fairy Legends of Wales', included in his third volume of Fairy Legends and Traditions of the South of Ireland, first published in 1828.
Cwm Rhyd y Rhesg is a dark and gloomy dingle in Glamorganshire. A bridge crosses a wild ravine, which is overhung with trees; and the murmuring of the streamlet among rocks, or the rustling of the breeze among leaves are the only sounds which disturb the solitude of this romantic dell.
Here it is that the Headless Lady is said to wander every alternate sixty years; being absent for sixty years, and then returning, to the great terror of the neighbouring district. She is seen in the dusk of the evening; and the present year (1827) is part of her term of appearance.
Many stories of this appalling spectre are related by the peasantry. Some say the most death-like chill freezes their blood at beholding her, although she has never been known to molest any one, but tranquilly waders along. Others, that their very clothes seem to freeze around them and become stiff; and that they are deprived of utterance or motion. The following tale is given as related by the parties concerned; and so far as relates to the alarm of the girl, and her account of the matter, is certainly no fiction. Ever since the occurrence she has been called Mary'r Elor. [Elor is the Welsh for bier.]
About ten years ago, as Mary Lewis was going through Cwm Pergwm, on her way to Blaenpergwm farm, near the bridge called Pont Rhyd y Rhesg, there appeared before her a female figure, dressed in white, and without a head, which, although it seemed to approach her, never came nearer. Retreat was useless, for every retrograde step she took, the headless figure kept pace with her: she therefore determined on going forward; but the lady preceded her, and always kept in full view about two yards in advance of poor Mary.
She describes this frightful object as about five feet in height, and having in every respect, with the exception of the head, a complete and beautiful female form. Her dress was snow white, and a mantle of dazzling purity fell over her shoulders in Vandyke points. The figure made no sign or motion whatever to Mary; but accompanied her to within six paces of the farmhouse, and then vanished.
As soon as the poor girl gained the threshold she fainted away; and every time she revived, and endeavoured to explain the cause of her alarm, and describe the spectre, the very recollection terrified her into hysteric fits. She remained in this state for two days, at the end of which time she appeared lifeless from exhaustion.
The good woman of the house thought she was actually dead, and sent for her relatives, who brought a bier to take her home. A procession followed the bier to Mary's house; and when they were going to lay her out, she showed symptoms of returning animation, and by slow degrees recovered, when she related the above account of the appearance of the Headless Lady.
Croker added: In the neighbourhood of Pont neath vaughan, there is also seen an apparition resembling a woman without a head; and having the part of her dress which comes round the throat cut into Vandykes, called in Welsh Cam rhedynen, or the Crook of the fern.
Van Dyke points, or saw tooth trim, was a popular - if labour intensive - kind of handworked decoration done in cloth or lace. There's a good post about its use in regency fashion in particular at Jane Austen's World.
Blaenpergwm Farm, presumably, was in Glynneath - close to Aberpergwm House, the home of collator Maria Jane Williams.
In 1939 Blaenpergwm Farm featured in another tragic tale. The Neath Guardian for January 27th reported:
LOVE FOR DOG CAUSED DEATH. TRAGIC END TO WOMAN'S MOUNTAIN SEARCH.
Love for a sheep-dog whose life she endeavoured to save brought about the death in tragic circumstances of Miss Maisie Haig, aged 60 years, a housekeeper employed by Mr. James McDermott, a well known shepherd residing at Blaenpergwm Farm, Glynneath.
It appears that the dog was reported for worrying sheep on the mountain between Onllwyn and Aberpergwm and was to have been shot. Miss Haig had great affection for the dog, and when she heard that it was be destroyed she made up her mind to try and save its life and walked two miles over the mountain with a view to offering it protection.
After wandering across the mountain for some time she reached the dog, and was returning with it towards the farm when, ascending a bank close to the farm, she collapsed and died. The barking of the dog led to the discovery of her body.
Miss Haig was well known throughout the district, and was formerly employed for many years as housekeeper to the late Mr. Edward Bryant, Addoldy House, Glynneath, whose death occurred recently.
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