Transylvanian-Scottish connection?
For what it's worth, Wiki gives the information that a noted classical author of the 5th c. A.D. wrote that one of the major tribes occupying what is now Transylvania, the Agathyrsi, sent a contingent to Britain around A.D. 300. There they become a part of the Pictish Confederation.
Back home, they already had the custom of painting their bodies blue, as is attested from burial sites left by that culture.
The chronicler upon whom Shakespeare relied for his historical information repeated this information and identified them as having gone to Scotland.