Scotland and England were not united into a single Kingdom of Great Britain until 1707 (under Queen Anne), and it did not become the United Kingdom (of Great Britain and Ireland) until 1800 (under George III). So technically the "U" actually refers to union of Britain and Ireland, not England and Scotland.

Before the Acts of Union of 1707, England and Scotland were not united into one kingdom, but two kingdoms that shared the same king under a personal union.