Since the current royal family trace their descent to a daughter (Elizabeth), grand-daughter (Sophia) and great grandson (George) of James I they are Scottish as much as (if not more than) English monarchs so the answer could be George VI. If, however, the question is asking for the last king born in Scotland to sit on the English throne, then the answer would be Charles I, who was born in Dunfermline Palace while his father James I was still King of Scots only.