The essayist on bagpipes for the Encyclopaedia Britanica attributes the bringing of the bagpipes to the British Isles to the Romans, as I noted earlier. The evidence is there, and the Roman tibia utricularis (bagpipes with bag) is well-documented in writings and in pictures. Nero is shown playing them on a coin, so he is notorious as the first player of this instrument for whom we have a name.
The Britannica article goes on to suggest that the bagpipes perhaps persisted in rural England- they are known from post-Roman times- and were later introduced to the areas of Scotland and Ireland. This could have been a re-introduction, but that doesn't change the fact that the bagpipes were a Roman invention (no earlier evidence of the bag).

The Romans occupied the areas of Spain and Brittany. It is logical to assume that the Romans introduced the bagpipes to this area as well.