See also the connection between Wales/Welsh and the "Scottish" surname "Wallace" (as in Sir William Wallace of "Braveheart" fame:
(that webpage misses out the vealh connection, although I'm sure that's relevant also).
Also not mentioned there is that large parts of northern England and what is now southern Scotland are thought to have spoken Cumbric, a Celtic language similar to Welsh, well after the Saxon invasion(s). It's possible that William Wallace, whose name might have meant either "the foreigner" or "The Welshman", actually spoke Cumbric. This is of some personal interest to me as my father was called Wallace (in honour of the great man, I'm sure - his dad had pretensions to Scottishness... ), and it also happens to be my middle name. My parents, and ancestors as far back as I can trace also mostly came from Cumbria. So although I have no connection to Wales by birth, I do have a sort of backdoor connection with the language.
(Sadly, there is no written evidence for the Cumbric language, so we can mostly only speculate).