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Here's a write-up for a possible origin for the Followers of the Claymore. Note that if you don't like the Christian connections, they can easily be removed from the origin, and it should still make for a very plausible origin story.
Followers of the Claymoreby Andrew Theisen
On their original homeworld, the family McGregor was just one branch of a larger clan (clan Gregor) in Scotland. Clan Gregor was notoriously belligerent and warlike, and the family McGregor was even more renowned for harbouring sorcerers and committing vile rites. The rumours of their Satanic allegiances were offensive to their Christian neighbours.
In truth, while there were many members of the family that did engage in magical practices, the majority were mere warriors and farmers who were just as horrified at their relatives' activities as everyone else. Fortunately, the McGregor's reputations as fierce warriors was sufficient to stave off the attacks of enemy clans, and won the McGregors several allies among their neighbours.
As Scottish lands were increasingly being occupied by hated Englishmen, the McGregor family found themselves ever more persecuted for their supposed Satanic beliefs, and they began to be pushed out of their ancestral lands. A McGregor sorcerer proposed leaving Scotland by way of magicks he had learned from a member of the d'Ambreville family years earlier. After much deliberation, the rest of the family agreed, and began to make preparations to move to the new world of Mystara, free from the persecution and domination of the English. Several members of allied families also opted to join them in this journey.
The McGregors and their allies arrived in the highland valleys of Braejr, where they settled. The land was sufficiently like their former home of Scotland that they were able to readjust quickly. Less agreeable was the preponderance of magical practices in this new land, which equated to evil and Satanic ritual to the mostly Christian transplants. Many moved to other, surrounding lands, but most remained in the highlands, free to live their lives as they did in Scotland prior to the arrival of the English.
When the Braejr Council of Lords outlawed all clerical teachings in 747 AC, there was an outrage among clerics in Braejr. Located in the highlands, most of the Scotsmen were ignorant or uncaring of the new law, confident that distance would keep them safe. Several recalled the stories of the Roman persecution of the Christians back on their home world. In an attempt to fight back against this declaration, the Brothers of the Claymore were founded- a band of warriors and priests who committed acts of terrorism- on their own and in conjunction with other illegal clerical groups- against the mages of Braejr. Such activities only inflamed the Flaemish people of Braejr even more and led to clashes between the clerics and mages of the nation, the most notable being the Great Burnings of 750 and 754 AC. The underground nature of the Brothers' organisation was the only thing that spared them from Flaemish retaliation during the rebellion of 754, when the Flaems wiped out nearly all able-bodied men of Thyatian and Traladaran descent.
When war broke out once more between the Thyatian and Flaemish communities in 784 AC, the Brothers of the Claymore (now a much more organised faction) formed one of the pillars of Thyatian aggression. Throughout the next four years, they would work closely with their Thyatian neighbours to try and wipe out the Flaemish across the land.
Tensions between the clergy and magic-users of Braejr took a backseat during the Forty Years' War (788-828 AC) when the Alphatian wizard Halzunthram appeared in Braejr. Shortly after the defeat of the Flaemish by their opposition, Halzunthram and his army declared the nation a protectorate of Alphatia. Feeling a sense of deja-vu, the Scotsmen of the highlands (the Brothers of the Claymore among them) took up arms against the Alphatians. They were determined not to be driven out of yet another land by oppressive conquerors. Together with their allies living in the rest of Braejr, they were able to defeat Halzunthram and drive out the Alphatians. An accord was signed among the allied peoples, dividing the lands of Braejr (now the Republic of Glantri) more or less equally between them, and giving the rulers autonomy from one another. The Brothers of the Claymore, satisfied that they could live in peace, free from religious persecution in their new home (now known as Klantyre), hung up their claymores and retired from their terrorist activities.
The Light of Rad decision in 858 AC changed everything. The momentous decision reserved the right to rule in Glantri to magic-users only- all other rulers were to be immediately stripped of their lands and rights. Overnight, Glantri changed from a Republic to a Magocracy. Only the fact that most of the rulers were already magic-users kept the nation from erupting into immediate revolt. Some rulers gave up their titles quietly, while others (such as the notorious Count Urnst Blofeld) fought a bitter battle to retain their titles. In the end, the magocracy won out.
For the Scottish families in Klantyre, the change to a magocracy was even worse. The new ruler, a McGregor, once again instituted the anti-clerical policies that the Braejr Council had passed many years previously (a process that was to take place elsewhere in Glantri). Prince McGregor's brutal militia began to persecute the Christians in Klantyre, burning their churches and slaying their priests. Former members of the Brothers of the Claymore, once heroes in Klantyre, were now outlaws, and were executed for their previous deeds.
Prince McGregor's policies didn't fully succeed in their efforts however. Many Klantyrians saw the Brothers of the Claymore as martyrs, and their sons and daughters reformed the group. The words and deeds of the Brothers spread quickly across the lands of Glantri, where they found equal sentiments among other clerical groups that were being persecuted. The Brothers of the Claymore reformed and renamed themselves the Followers of the Claymore as they attracted allies among the dispossessed priests and malcontent warriors of the Glantrian population.
Today, the Followers of the Claymore still persevere as an underground faction. They are led by Sir Duncan McGregor and are most active in the Sablestone region (which remains largely uncontrolled, despite the establishment of the Principality of Sablestone). They are closely associated with the Free Fundamentalist Farmers of Glantri. Both groups actively plot and plan for the day that they will be able to overthrow the magocracy and reinstitute the republic first established by Lord Alexander Glantri. The relaxing of laws in regards to the practice of clerical magic has helped the cause of the Followers, but they still long to be allowed total freedom of religious practice.
As this stands, then, the Brothers of the Claymore were a strictly Christian group, similar to the Teutonic Knights of the Real World (except that they were an underground movement, not sanctioned in any way). The current Followers of the Claymore is more of a non-denominational movement (at least in the sense that the clerics of the order are from a variety of different belief systems, mostly native to Mystara).