Scottish Highland clans would use something called the “Fiery Cross” or “Cross of Shame” as a symbol for a call to arms/war. Basically sending a person carrying the thing from village to village and every able-bodied man had to get ready for war or be shamed.

But whether or not they actually used a burning cross is very disputed. The main source for this is the author Walter Scott. He wrote Rob Roy, The Lady of the Lake and other Scottish mythology/historical fiction. While he claimed to try to be as historical accurate as possible, there are a lot of made up facts in his books. So not really a good source and sometimes even the only source for Scottish mythology.

The original KKK didn’t burn crosses. But in the early 1900s Thomas Dixon wrote a book series that romanticized the KKK. He was very inspired by Walter Scott and included the Fiery Cross in his novel. Saying the flames symbolizing purity, purifying the people of their sins, and the light it gave is a symbol for “The Holy Light”.

His books were the source for the movie " The Birth of a Nation" and that movie included the burning cross scene. And KKK members thought it looked cool and started to use cross burnings using the made up justification of purity and holy light.