If you're in Scotland and hear the word "colleen," you're likely listening to an Irish import, not a native Scots term. There is no traditional Scottish word "colleen."
"Colleen" (Irish: cailín) is an Irish Gaelic word meaning "girl" or "young woman." It entered the English language via Hiberno-English (the English spoken in Ireland) and became widely known globally through Irish diaspora literature, film, and song (e.g., "Colleen Bawn").
In Scottish Gaelic (Gàidhlig), the word for "girl" is nighean (pronounced roughly "nee-an"). The word for "young woman" is maighdeann. Scots (the Germanic language variety spoken in Lowland Scotland) uses "lass," "lassie," or "quine" (in the Northeast/Doric dialect).
The conflation often stems from a generalizing of "Celtic" cultures in popular media. While Ireland and Scotland share a deep Gaelic heritage (both languages belong to the Goidelic branch), they have been distinct for over a millennium. Using "colleen" in a Scottish context is akin to using a Welsh word in Brittany—related, but incorrect.