Welcome, Marcia. You've come to the right place, I'd think. These guys are generous with their knowledge and seem to have a particular interest in legendary creatures.
You may already know this, but Peggy merits two paragraphs in John McPhee's The Pine Barrens. If you don't have this book, it's a classic and well worth the small price. If you send me a personal message, I'll write out the information for you. Other sources: do a search on amazon.com. You'll find several books about South Jersey legends. Search inside the books and you'll see a few lines about Peggy, not much more than an aside to descriptions of the Jersey Devil.