"The Caledonian" Sir Walter left unfinished (4)
I believe the answer is:
scot
'the caledonian' is the definition.
(Caledonia was the Latin name for Scotland)
'sir walter left unfinished' is the wordplay.
'sir walter' becomes 'scott' (I've seen this in another clue).
'left unfinished' means to remove the last letter.
'scott' with its last letter removed is 'SCOT'.
(Other definitions for scot that I've seen before include "Highlander perhaps" , "Native of Glasgow, say" , "Stevenson was one" , "Native of northern Great Britain" , "Someone from Dundee?" .)