According to a sgian dubh site I found "The Gaelic kingdom of Dalriada included parts of western Scotland and Northern Ireland. The inhabitants of Dalriada were often referred to as Scots (Scoti in Latin), a name originally used by Roman and Greek writers for the Irish who raided Roman Britain, and as a result Dalriada has come to be known as the first kingdom of the Scots. The kingdom's independence ended in the Viking Age, as it merged with the lands of the Picts to form the Kingdom of Alba and the beginnings of modern day Scotland."
That predates the sgian dubh as a specific knife but shows that similar ideas would have been shared. From what I can tell it is uniquely Scottish but I'm sure people with similar needs made similar knives all over the world. Look at the kwaiken, just a Japanese sgian dubh.