This usage of marry is hopelessly obsolete. It's just an interjection (derived from The Virgin Mary, so you could call it a minced oath) that was used to express surprise - in this case, the sheep obviously would be surprised to be asked if he had any wool!
A more modern equivalent would be indeed. A much more modern one would be absolutely.
There's also archaic word-order, and I doubt you'd often hear "my master" today (even less "my dame"). In modern English (ignoring scansion issues) the reply would start
"Absolutely! I have three full bags!"
Also note that as a nursery rhyme today, the third line is invariably "Yes sir, yes sir", because no-one is interested in teaching their kids about that archaic use of marry.