Someone once told me that this was a song about non-physical child abuse. The lines "You must have swallowed a candle or some other sort of surpirise" are, allegedly, referring to the drugging of his baby daughter by a single fater, before he goes downtown. The trip ends in tragedy with him in jail (gaol as we English would spell it!), speculating on both the strength of his daughter's love for him (she'd sell her little pumpkin just to raise her sweet Daddy's bail) and whether she is trying to find him.
The final coda is, so I'm told, supposed to be a meditation on the unquestioning love that daughters have for their fathers.