Greg, I'm not sure you are right to identify the name Keggan with the name Kaighin. I remember asking the late Constance Radcliffe whether they were the same. She said that they were different surnames. Moore in his Surnames and Place Names of the Isle of Man does not list Keggan specifically but mentions Keigeen in the context of Kaighan/Kaighin. He says that the latter is a northern name, the former from the south. That has been my own experience too.
Perhaps they were connected centuries back, but by the 19th century had become distinct.
Where was this burn in the field, I wonder? There would be more of those in the south than the north, and the classic fairy location is the Fairy Bridge that carries the Castletown Road over the Santan Burn.
So I don't think it was your people thet were away with the fairies!