Scotch gets misused and I don't want to join those ranks if it's incorrect. Celtic seems to cover a wider area. Pictish seems to be specific to the Northeast. Gaelic I always assume to be Irish.
All of them seem to have pros and cons but I'm not sure any of them are correct.
Edit: This is for the next census form. Instead of the regular "British" under nationality, I want to put Scottish-European, or the equivelent.