Sorry, there is NO credible or well-argued theory that has Arthur originating stonehenge. There is a literary tradition that Merlin was responsible, however. But it's nothing like contemporary with any of the historical possibilities for Arthur OR Merlin.

If Arthur existed, he almost certainly was either Celtic or a Roman soldier (which would mean from who-knows-where). But the problem with any "Arthur existed" scenario is what do you mean by "existed." It's fairly clear that, on the one hand, many people really existed whose stories became part of the Arthur legend, from Lucius Artorius Castus to Ambrosius Aurelianus to Riothamus. Was any of them "really" Arthur? No. Was Arthur any of them? No--he was all of them and more.

And yes, for a long time there have been theories of a Scottish location for Arthur, but they are no more recent or better backed by Evidence than the claims out of Cornwall and other areas of Britain.