Well the film(s) and the TV series play pretty fast and loose with history. The 'Highlander' in this case is one of a race of immortals who end up all over the place over the course of their lives. The katana in question comes from one of the heroes having traveled to the orient at one time or another (IIRC)

It's all pretty good fun though, and the katana in question is quite beautiful so I'm surprised no one has actually done it before. This is what the real one looks like (though it's only a prop i think):

http://filmswords.com/highlander/katanas.htm