My understanding is that there isn't a hard geographic line that separates the countries, so it's not as simple as two entirely different cultures settling on either side of a mountain range or whatever. And my impression has always been that the whole island was basically one culture group before the Romans came along.
I am also under the impression that at various points, the King of Scotland has paid fealty to the King of England, and that this was before nationalism was really a thing, so what makes the King of Scotland a king, and not a particularly powerful baron?
Can it be as simple as the Roman's didn't conquer Scotland, so that started a cultural divergence that just kept going?
Actually, the Romans did conquer Scotland, or so Tacitus tells us in the Agricola. They certainly held the region south of the Forth/Clyde line for some time, with forts further north. Ethnically, most Scots are similar to the English, with a similar make up of Anglo-Saxon, Celt, Norse etc blood lines. The Highlands and Islands have far more Norse and Irish ethnicity, which was also a linguistic difference. Again, most Scots speak English, with no more of a dialect than many English English speakers. The difference, or at least a difference, is that with the end of Roman Britain, Britain split into many kingdoms; several in what became Scotland and rather more in what became England and Wales. When the various kingdoms became unified, centuries later they coalesced into two, that of England and that of Scotland. So, apart from the Celtic fringe, of both Kingdoms, there is no real ethnic difference between them.