There is a sheep-counting system in northern England, also used for counting stitches in knitting, which derives from a Brythonic Celtic language. Is there any surviving folklore that is known or reasonably hypothesised to derive from the culture of the Picts?
Actual folklore is stuff folk still say & do. It can be very hard to establish the origins of folkloric material. The linguistic connection is probably your best bet.
You might find this book interesting, though it is concerned with archaeology & history for the most part.
In Search of the Picts: A Celtic Dark Age Nation by Elizabeth Sutherland Trans-Atlantic Publications, 1994 ISBN 0094750106