Hello Gabby, the 'nearest towns' are automatically generated, and it only seems to pick towns over a certain size. As you say, Wooler is nearer than Coldstream to the site you mention, but it's just small. Sometimes it comes up with places that are on the opposite side of a mountain or stretch of water! So I admit it's only a rough guide. If you look at the yellow band at the top of the site pages I think you'll find the sites you mention really have been put in the correct counties though, none of them seem to be in Scotland as you suggested?
The multimap (Bing) link on each page is good for getting a feel of where sites are (especially if you then choose the ordnance survey map option).
Thanks,
TMA Ed.