This is likely derived from, and possibly a misunderstanding of, the description of a "walpipe" mentioned in the meeting minutes of the Society of Antiquaries, May 10, 1770.
The Walpipe is used by the Lapland Shepherds, & consists of a Cow’s Horn, in which they make Apertures at proper Distances, so as to produce musical Intervals.
[6]It is unclear from the text whether Mr Fougt meant the Sakpipe or the Walpipe or both to be "exactly the same with the Bagpipe".
The following description of the Walpipe as a Cow's Horn with apertures (without any mention of a bag) matches with Swedish cowhorns.
In Sweden these instruments were also called "vallhorn" ("vall" from "vallning", which means herding in Swedish) and possibly "vallpipa", as in older poetic Swedish "pipa" could be used for any pipe-shaped wooden wind instrument.