Nerd, my Britannica is old- 1956. Article on p. 926-927 of vol. 2
Could a Roman have brought the bronze statuette of the figure playing the tibia utricularis but left the actual bagpipes at home or traded them for liquor somewhere along the way? Possible.

The article goes on to state "From England the bagpipe spread to Caledonia and Ireland, where it took root..."

I would tend to think that the soldiers and officials, merchants, etc. would have brought a variety of portable musical instruments with them. Some quite upscale villas were built in Roman Britain, and I would guess that they were well equipped with amenities.

The classic 11th edition (1909-1911) of the Britannica has a much more scholarly article. One extract: "The old Irish Bag-pipe, of which we possess an illustration dated 1581 (John Derrick, Image of Ireland and Discoveries of Woodhorne, London, 1581) had a long conical chaunter with a bell and apparently seven holes in front and a thumb-hole behind; there were two drones of different lengths- one very long- both set in the same stock. It is exceedingly difficult to procure any accurate information concerning the development of the bag-pipe in Ireland until it assumed the present form known as the union-pipes."

History: "The most characteristic feature of the bag-pipe is not the obvious bag ... but the fixed harmony of the buzzing drones. The principle of the drone, i. e. the beating-reed sunk some three inches down the pipe, was known to the ancient Egyptians." (Discussion of a tomb discovery, the reed in place).
"Among the names of musical instruments [biblical citations] generally but wrongly rendered as "dulcimer" ...is thought by many scholars to signify a kind of bag-pipe..."
"Bag-pipe known in Italy and Spain during the Middle Ages..."
The statement about the Roman figurine of a soldier playing the tibia utricularis, found at Richborough, is also made here (Archaeologia, v. XVII, London, 1814).
Bag-pipes used at Coventry in 1534. Thirteenth century bag-pipes from Spain are illustrated in the Cantigas de Santa Maria- one has four long drones and two chaunters. Many more interesting comments.