A simple answer is: He was King of two different countries at the same time, and each country referred to him by its respective numbering.

Longer answer:

King James VI was the King of Scotland. As his regnal number suggests, there were five other Jameses before him. When he inherited the crown of the Kingdom of England, he became King of England as well. There had never been a king James before in England, so naturally he was called James I in England. This is called a personal union. Scotland and England were still separate countries with their own respective laws, parliaments, currency etc., it just so happened that the person who was the king ruled more countries at the same time. Therefore, he was usually referred to as James VI and I.

His son Charles I, and the latter's son Charles II, had no such problem because there had never been a king Charles neither in Scotland nor in England.

Charles II's son was called James again, and lo and behold he was known as James VII and II. When he died, his daughter Mary became queen and married William of Orange (from the Netherlands), who co-reigned with her as William III and II - obviously there have been Williams before.

As you can see, all these monarchs kept two different regnal numbers because they were monarchs of two different countries.

It wasn't until the next monarch to take both thrones, Queen Anne, that the two kingdoms of England and Scotland were finally united into a single state called Great Britain. From then on, there were no more "Kings of England" and "Kings of Scotland", just Kings of Great Britain (and Queens, of course).

As an aside, the current queen's (Elizabeth II) regnal number caused a small amount of controversy in Scotland because there has never been an Elizabeth in Scotland, and by that logic she should be called Elizabeth I in Scotland (the previous Elizabeth (Elizabeth I) was Queen of England only, and it was her childless death which led to James VI becoming James I as well).