I suspect bagpipes may be the worst wind instrument to learn in this regard, at least if the goal is to train circular breathing?

I would imagine some basic breathing techniques may help, wonder what the research in anuloma viloma pranayama shows, but beware there's a lot written by random people on the internet about it without scientific evidence.

Several varieties of bagpipe I'm aware of don't even require breathing, since they're powered by bellows. The pipes are surprisingly hard to learn by the way. One normally starts on the chanter, which is more like a recorder and is not bag assisted.