Native breeds of sheep such as the Shetland were much more common in Scotland in past centuries. Very few were off-white. The Wikipedia article on this breed states that eleven main colours are recognised (most including many different shades): light grey, grey, white, emsket (dusky bluish-grey), musket (light greyish-brown), shaela (dark steely-grey), black, fawn, moorit (reddish brown), mioget (honey-toned, yellowish-brown), dark brown. This sounds like a good range of colours even before dyeing. When I was on Shetland a few years ago, I saw knitting and weaving that used these natural colours in creative combinations.