No, I don't think they do. Lerwick is full of King Harald Streets and King Eirik Streets and certainly on Up Helly-Aa night they sing an awful lot about their forefathers being Vikings (which there's some justification for, given what the Shetland Mitochondrial DNA Project has shown) and usually their attitude to the govt in Embro is what you'd expect from a peripheral community that feels ignored and slighted by the mainland. But they can be fairly anti-English - I once got called f-ing English, years ago, by some kids, and protested that I was in fact f-ing Welsh. They were fine with that.