Flying a black flag meant "No Quarter" will be given.
During the Second Battle of Boonville, Mo. (Sept. 1861), the Union Home Guard in their fort thought that the Mo. State Guard attacking them were flying the black flag. In reality, due the the falling rain, the MSG had encased their flag in a black fabric covered case to prevent the flag from getting wet.
Quantrill was supposed to have ridden under the Black Flag several times, but both Cole Younger and Frank James said that the rumor was false, they never rode under any type of flag. There are two versions of this supposed black flag the Quantrill used. One has an all black flag with "Quantrell" (note the miss-spelled name), written across the flag in red letters, the other flag is again of black fabric with a capital "Q" in the upper left quadrant.
However, in times past, at several University of Missouri / Kansas University football games, both of the above flags attributed to Quantrill have been seen flying in the Missouri section.