While I'll understand Edinburgh being a likely spot for a possible Waxworks location, Glasgow despite often being hated by the rest of Scotland for its rough nature, egos and where the majority of the media and sporting scene is controlled by, it is the largest city in Scotland (like what London is for England I guess) it does have a fairly strong tourist market that could easily hold say a Waxworks or Sea Life centre plus in many ways it would be smart on Merlin's part to spread their footing in the two largest Scottish cities.
Speaking of which as I mentioned with all the majority Scottish celebrities and sporting stars hail from Glasgow in which likely wouldn't have worked if set say in Edinburgh as some of our Scottish users will know of the show Still Game which is beloved by almost everyone in Scotland in which my friends were saying that regarding the Rovers Return Inn recreation in Blackpool, imagine a reskin version of that with instead it is the Clansman pub with several wax models of Still Game characters there?
If Merlin actually committed for a 'local' theme rather than copy and paste something from somewhere else (ok maybe the Marvel or Doctor Who sections perhaps) then that would go down well and honestly the more you think about it, there is a lot you could add and though Glasgow is a tough city, it's a proud one and if Merlin were to double down with such a thing then it would go down well.
To bring it back to the Dungeons in Edinburgh, the capital city has long history of many gory parts of Scotland's history which makes it a no trainer choice for the Dungeons to be set there rather than Glasgow (unless football violence is the theme), the same can be said that a Waxworks is a good fit for Glasgow for the media side of the country.