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The obvious answer is that the couple's fathers (James and Robert McKenzie) are brothers.

Have you traced the family back in the censuses?

Looking at the indexes to the valuation rolls for the parish of Innerleithen on ScotlandsPeople, nothing comes up for Alexander Stewart in 1855, but from at least 1861 he seems to have owned two houses at Pinkbank, one of which he occupied himself and the other was rented out to a tenant.

Here is the area:

https://maps.nls.uk/geo/explore/#zoom=17.0&lat=55.89749&lon=-3.95254&layers=6&b=1

The Isle of Man has preserved Ecclesiastical Presentments, including those for Fornication.

Quote

Presentments were accusations of offences against Ecclesiastical law made by the wardens or chapter quest of each parish to the twice-yearly church courts held around Easter and November. Family historians will be familiar with them as a common crime presented, was that of fornication, as proved by the appearance of an illegitimate child, both mother and putative father, where known, were presented. Fornication was illicit sexual relationship by an unmarried party, adultery was an illicit relationship by a married party.

(Taken from ManxNoteBook)

The guilty lady was "persuaded" to name the putative father, of face a fine.

Maybe such evidence is available in other areas?
N.B. Most are not online. Maybe in Diocesan Archives?

In Scotland the equivalent is the minutes of the kirk session for each parish which can give a great deal of information about cases of fornication. Unfortunately, in this particular case the parish must have kept a separate discipline register which is either lost  or not available online. At least the accounts book is available and that contained the reference to the payment of a penalty for fornication which led to the discovery of the baptism.