So they did
http://www.bbc.co.uk/history/scottishhistory/union/intro_union.shtml
The Darien Venture - Scotland’s Thwarted Empire
To fund the company the Scots attempted to raise money on the London and Amsterdam markets, however, William of Orange, under pressure from the East India Company, banned any English investment. The Scots reacted patriotically by raising hundreds of thousands of pounds in capital for the Company, which eventually settled on Darien in Panama as the ideal location for a Scottish colony.
The company hoped to make Darien the trading link between the Atlantic and Pacific Oceans, across the narrow isthmus of Panama. Founding colonies in the New World was a risky business at the best of times and Darien turned out to be a disease-ridden swamp. The Scots soldiered on but the global politics of Empires ensured its failure. The Spanish laid claim to the area and attacked the Scots colony. William of Orange, who needed the support of Catholic Spain in his Continental Wars, thwarted the scheme by denying the Scots any support from nearby English colonies or from the English Royal Navy.
The financial loss of Scottish capital was colossal and the Scots were outraged that, as Lord Belhaven put it, Scotland’s sovereignty had been trampled under foot by their own king.