After Polo returned from Asia to Italy, he was imprisoned, due to his involvement in a war then occurring between Venice and Genoa. However, there are rumors that persist to this day, nearly 700 years after his death, that Marco Polo was imprisoned for reasons other than involvement in the war. According to these rumors, he was imprisoned on the orders of the church, because he had married a non-Christian, the daughter of Kubla Kahn, Hao Dong.
According to these stories, Hao Dong came back to Italy with Marco Polo, but found the people to be unaccepting of her due to differences in appearance, religion, and language. She became increasingly alienated from all but those closest to her, and became an effective shut-in. Her only solace was Marco himself, and singing - she is said to have had a beautiful singing voice.
When Marco was arrested, his sister went to Hao Dong and told her that Marco had been executed. In despair, Hao Dong lit her clothing on fire, and then jumped out of the house's window, into one of the Venetian canals, drowning herself.
It is said that people traveling along the canals at night can hear her singing, as if she was not ready to forgive the treachery of her sister-in-law or let go of her husband even centuries after his own death.
Commentary: I was delighted to discover this ghost story. Marco Polo was, by any standard, one of history's great adventurers. His travels to China are, quite literally, the stuff of legend. It is open to debate how many of the more fantastic elements of his writings were due to his claims, and how many were due to a writer to whom Marco Polo dictated his narrative. This writer, Rusticcello, was a writer of romances (generally adventure stories) popular at the court, and it is concievable that, even if Polo had said everything accurately, it might have been embellished. It is also possible that Polo did the embellishing, and Rusticcello took faithful dictation. We'll likely never know.
However, even the more mundane elements of Marco Polo's books are sufficient to show that this was a man who lived a life the likes of which most of us would only ever dream of. He travelled the world during a time when it was rare to travel far from your home town. He spent time in the court of China during a time when most Europeans were only vaguely aware that this place called "China" even existed. And then he returned to Europe to tell his story.
Given that there is a good deal of confusion regarding how much of Marco Polo's story is true vs. hullabaloo, it is only fitting that a ghost story would be associated with him that is likely far more myth than fact.
The historical record indicates that Marco Polo married a woman named Donata Badoer as his first and only wife, with whom he had three daughters. There seems to be little more than rumor to suggest that he was married to Hao Dong, indicating that it probably did not occur. Still, medieval record-keeping being what it was...
It should also be noted that the majority of references to this story are found on the websites for walking tours, suggesting that it may be of a more recent vintage than it's proponents would like to think, and that it may be more a product of tourism than paranormal activity. Also, the claim that Hao Dong had lit herself on fire seems more consistent with a 1960s/70s view of Asia (when footage from the Vietnam War showed protestors setting themselves alight) than the expedient suicide of a heartbroken 14th century woman (also, if you wanted to burn yourself to death, why would you then jump into water? Seems like there could be more about the story said here, but I have yet to see anything of the sort).
Anyway, there seems to be some parallels between this story and two of my other favorites: La Llarona, and Paganini's Phantom Violin. On the whole, it's a good story.
Sources: Discovery.com, HowStuffWorks.com, Stuff You Missed in History Class Podcast