I have family who were involved in fairs between East and West Yorkshire at about the same time as yours and have had very little luck finding anything concrete about them. I have the odd birth cert for their children where they were born at Bradford fairground or in a caravan behind a street very near Hull Fair, but otherwise nothing.
There used to be a good website called The Galloper but I'm not sure if it's still running.
Sheffield university also have an archive which is supposed to be very good, but I've not managed to get there yet.
http://www.nfa.dept.shef.ac.ukIf your ancestors came to Hull Fair, it may also be worth searching through Hull archives once their new History centre opens in the autumn - if, of course, you're not too far away!
Jill