I don't think there are any officially wild sheep in Scotland, tho there will be an odd one that has escaped being herded in for annual dipping and clipping. As Senofou says the hardier breeds will range freely in the mountains (as happens more dramatically in NZ with their huge flocks of Merino sheep.)
It is somewhat ironic that the horrible person was shooting goats descended from those owned by the runrig crofters before The Clearances, and sheep/ram descended from the animals brought in by landowners, while the people were burned out if their houses and virtually transported to USA. Abd as for deer -Scotland used to be covered by the Great Caledonian Forest and deer were a forest dwelling species .... but it is sooo much easier to shoot them on wide open spaces hence hillsides empty of trees -and people - (but still called 'deer forests'!)