No pay for delay
 

In August our flight from ABZ to AMS was delayed for over 3 hours.
They denied my compensation claim, saying it was due to weather.
Well it wasn't due to weather in ABZ, but apparently foggy where the plane had previously come from to AMS.
Is that the end of it, nothing I can do?

No experience with UK yet but I think you need to complain in the country of departure... Looks like What to do if your claim is rejected | UK Civil Aviation Authority is helpful. In case of KLM seems like you should complain here: https://www.aviationadr.org.uk/

It's not the end of it, but weather is an "extraordinary circumstance" which would bounce you out of EC 261/2004 compensation. Whether three hours is a reasonable time for KL to scramble a new aircraft and crew at AMS, its worldwide hub, is a different question.

In a court proceeding, it would be for KL to prove this.

If you are located in the Scotland, you could file an action through Scotland's version of MCOL. All online. If the process fails, you would then wind up in court. Hearings may be telephonic.

At this point, best to follow the forms for a letter before action so that, if KL does not pay up, you may proceed directly. Or, if you don't care that much, drop it.