I believe Scottish Episcopalians were outlawed in the late 18th Century due to them siding with the Jacobites in the 1745 rebellion. Episcopalian priests were imprisoned (some of them in Blackness Castle, West Lothian). They weren't allowed to practise their religion until the late 19th Century so I wonder if there actually WERE Episcopalian schools in Scotland around 1840?? Just a thought. So it just might be private tutoring your ancestor had, as suggested.
Cheers
Diana