So, what about James VI of Scotland? When he became King of England in 1603, he was the first English king to be called James, so ordinarily would not have had a number. But he was already known as James VI, and presumably there would have been some impulse to distinguish him in his king-of-England capacity. One way of doing that would have been to call him James I of England, so that he would be known as James VI and I, just as he is today. On the other hand, to call a living monarch 'the First' might be thought to allude indelicately to the fact that he would one day die.
So, how was James styled after 1603 (and indeed up to 1685, when the accession of his grandson rendered the question moot), when people wanted to refer to him as reigning over both kingdoms? "James VI and I"? "James VI, also King of England"? "James VI and [null]"?
I begin to see why he was so keen on establishing Britain as a political entity: I'm guessing his motives were nomenclatural.