Well there’s more than one Fintry in Scotland, but I would guess it means the village of Fintry in Stirlingshire (the other one being a suburb of Dundee). Nice wee place, almost in the middle of nowhere, but set between the Fintry hills and Campsie fells.
Alan Reid, who wrote the song, ex Battlefield Band, is still performing solo, and was a recent guest at our local folk club: very enjoyable night.