Kilted characters in The Thirtynine Steps

[OC Richard]

About the piper, I have a hunch that he's wearing his own kit.

I've worked in Hollywood for a bit and it's not uncommon for musicians and extras to be wearing their own clothes. https://www.youtube.com/watch?v=_667mafbFtk

Many of the pipers showing up for the audition would come in their outfits, or at least brought photos of them in their outfits.

Extras know in advance what the time-period the scene they're showing up for is set in, and whether it will be a situation where they bring their own outfits or the costumer will dress them. If the former, the costumer would have looked them over and said "that looks OK" and that would be that. Yes it's laziness on the part of the costumer, but it also saves time and money.

BTW you get paid extra for providing your own outfit.

That being said, a Prince Charlie Coatee of some sort did exist at that time, but would have been unusual.

Loudon MacQueen Douglas, writing in 1914, says

"In place of the Doublet [what we call the Regulation Doublet today] some Scottish dresses have a Coatee, or short coat, with abbreviated tails, like a Morning Coat.

It is quite optional whether this is worn, or the Doublet. Any form of the Coatee, however, is entirely modern, and, personally, I prefer the Doublet.

I understand that in some parts of the North of Scotland they are trying to introduce a Coatee with longer coat tails, and if this succeeds I think it will be a pity, as the Doublet strikes me as being much more complete and artistic than any form of the Coatee I have seen."

What are certainly anachronisms concerning the piper are his modern shirt-collar and tie, and his interwar sporran.

I should mention that it's obvious that the piper is an actual experienced piper due to his overall posture and way of holding the pipes including his hand positions. Non-pipers never get that stuff right.

I didn't see the scene but almost certainly the piping heard would not have been captured while filming it. The piper almost certainly would have his pipes corked off so as to be silent on set, and the music dubbed in later. (All of the sounds heard such as footsteps, doors closing, background conversation, street noise, musicians playing, and even some of the main characters' dialogue is dubbed in later.)