Both teams were already packing their bags after the West Indies and England had sealed progress to the Super Eight, but that did not stop Nepal's fans from turning up in numbers to create a party atmosphere at the Wankhede Stadium.
Chasing 171 for their first victory of the tournament, Nepal got there with four balls to spare thanks to Dipendra Singh Airee's explosive unbeaten 50 off 23 balls.
"First of all, I would like to thank the fans. They came to India and to Mumbai and supported us a lot. Our confidence also increased... I am very happy," Airee said after picking up the player of the match award.
'One of my best innings'
"In the last World Cup, we didn't win a single match. So, that's why this win is very important for us," he added. "It is one of my best innings, especially while chasing."
Nepal looked to be cruising at 74-0 in nine overs with Kushal Bhurtel's brisk 43 off 35 deliveries setting the tone, but Michael Leask had other ideas.
The Scotland spinner took three swift wickets to leave Nepal wobbling at 98-3.
Leask conceded only 10 runs in his first three overs but he went for 20 in his last over as Airee welcomed him back with two massive sixes to raise the volume at the Wankhede.
Airee's fireworks display included four boundaries and three sixes while he was joined at the other end by Gulsan Jha (24 not out), who hit the winning runs before Nepal took a lap of honour around the ground.
"The atmosphere was incredible, we always knew it would be a tough game against Nepal, with the crowd behind them," Scotland skipper Richie Berrington said.
"But a lot of credit has to go to Airee. The way he's come out and played, he's changed the whole tempo of the game."
Earlier, Scotland had posted a competitive 170-7 after being put in to bat, with opener Michael Jones blazing to 71 off 45 balls.