The first reference I saw to a dwarf priest of Thor was in 2e Deities & Demigods, which spoke briefly about gods that would be appropriate for various races. Thor was cited as a god for dwarves not because he liked them in real mythology, but because his interests - including drinking hard, wearing a big beard, and hitting giants with a hammer - fit with the interests of fantasy dwarves so very, very well.
The Scottish Dwarf stereotype is much older than Baldur's Gate II. I'm sure I saw it in Dragon Magazines in the early '90s, I'm pretty sure there were Warhammer miniatures dressed up like wild Scots or Picts, and R.A. Salvatore's Bruenor Battlehammer is somewhat Scottish in a broad way. The reason is similar to the connection with Thor: it's easy to see a dwarf as a short, bearded Scotsman wearing a kilt and wielding a claymore, with fiery red hair and blue painted skin. The image is as awesome as it is hilarious.