Mark from Clan Scott Society told me the same thing via email.

"It wouldn't surprise me at all. Scott is a very Scots surname. Even if your gr-grandfather did come from Denmark it is still almost assured that his lineage eventually comes from Scotland. Perhaps by way of France, Belgium, Holland, or England. Your gr-grandfather was probably living in the mid- to late 1800's and there were many Scott families that were on the move between 1700-1900. They moved all over the globe. Some because they joined the British Army and others who were simply seeking a better life in a new land.

Mark"