Lloyd is particularly known for the jeu d'esprit which he produced very soon after leaving Oxford, entitled The Legend of Captain Jones; relating his Adventures to Sea … his furious Battell with his sixe and thirty Men against the Armie of eleven Kings, with their overthrow and Deaths.... The legend or ballad, which opens with I sing thy arms and the man's Whose mighty deeds outdid great Tamerlan's,
is a genial, if somewhat coarse burlesque upon the extravagant adventures of a sea-rover called Jones, who, says Wood, "lived in the reign of Queen Elizabeth and was in great renown for his high exploits." The poem relates how with his good sword Kyl-za-dog Jones slew the mighty giant Asdriasdust, how eleven fierce kings made a brave but futile attempt to stay his triumphant progress, and how at last he was captured by the Spanish king at the expense of six thousand warriors, but at once ransomed by his countrymen, anxious to recover him on any terms. Elsewhere Wood says that the Legend was a burlesque upon a Welsh poem entitled Awdl Richard John Greulon; but the view that Jones was not an altogether mythical person seems to derive support from the fact that, in his Rehearsal Transprosed, Andrew Marvell says, apropos of the Legend, "I have heard that there was indeed such a captain, an honest, brave fellow; but a wag that had a mind to be merry with him, hath quite spoiled his history." The Legend at once obtained great popularity. It was reissued in 1636, and with the addition of a second part in 1648. In 1656 the edition described by Wood appeared, with a frontispiece representing Jones "armed cap-a-pee, well-mounted on a war-horse, encountering an elephant with a castle on its back, containing an Indian king, shooting with arrows at the captain, under whose horse's feet lie the bodies of kings, princes, and lyons, which had been by him, the said captain, kill'd." In subsequent editions introductory poems were added, and in 1766 appeared a so-called second edition, with the title, The Wonderful, Surprizing, and Uncommon Voyages and Adventures of Captain Jones to Patagonia, relating his Adventures to Sea … all which and more is but the Tythe of his own Relation, which he continued until he grew speechless and died, with his Elegy and Epitaph. But by this time the supplemental rodomontade of successive editors had almost entirely destroyed the naïve effect of the original version. Besides the Legend, Lloyd is vaguely said by Wood to have written "certain songs, sonnets, elegies, &c.—some of which are printed in several books"; these do not seem to have been identified. The Legend was printed in its original form in the Archæologist, 1842, i. 271.