The Straight Dope examines this factoid. It decides that if the practice's Scottish origins were direct, then the cross should have been St. Andrew's saltire:
Knowing a good idea when he saw one, William J. Simmons, the founder of the Klan in its second incarnation (1915-1944), cobbled together a cross and burned it at a meeting of the newly-established Knights of the Ku Klux Klan on Thanksgiving night, 1915, on Stone Mountain near Atlanta. Flaming crosses have been a Klan trademark ever since.
Just one problem. The fiery cross of Scottish legend wasn't the upright Roman cross commonly used by the Klan. Rather it was the X-shaped cross of St. Andrew. St. Andrew is the patron saint of Scotland, and an X-shaped cross probably also was a lot easier to make a signal bonfire out of. But nobody ever said the Klan's big attraction was its meticulous sense of detail.
Remember, Kluxers were the Star Wars nerds of the 1920s, only violent and politically competent.
(link via Kathy Shaidle)