According to tradition, the shepherds arrived to see Jim mere minutes after visiting the
site of Jesus' birth. Up to that point, the shepherds had been putting off a stop at Jim's place. However, the arrival of Messiah inspired them and gave them courage. The reason for their hesitation, and later bravery, is not explicitly mentioned in the Bible. It is, however, included in unverified sources.
Tradition says the shepherds left the stable where Jesus and Mary were resting and marched directly to Jim's house on the other side of the town, taking along the little drummer boy. Backed up by enthusiastic rhythm, they confronted Jim and demanded he bring out his roommate, Cotton Eye Joe. Shepherding is lonely work, and these men had limited opportunities to find a suitable wife. Cotton Eye Joe, according to lore, somehow interfered with the shepherds' prospects for marriage.
Brimming with valor thanks to their experience with Jesus, the shepherds finally arrived to see Jim. Unfortunately, as Jim told them, Cotton Eye Joe was not there, having gone off to parts unknown. Seeing that nobody knew where Cotton Eye Joe came from, or where he went, the shepherds had no choice but to return to their fields and repetitively lament their lack of spouses.