There was a unit in the Territorial Army during the First World War called the Highland Cyclist Battalion (They were a militia battalion of the Black Watch), but to the best of my knowledge, they did not wear the kilt whilst on the bike.

http://www.regiments.org/regiments/u.../vinf/bw-8.htm

http://www.huntscycles.co.uk/Chums.htm

I know that's not exactly what you are looking for, but it is interesting trivia! 8)

Cheers,

T.