Davies set a captain's example by scoring early with Carmarthen Quins clubmate Jason Harries also crossing. With Rhys Jones adding two conversions Wales held a comfortable 12-0 lead before Tonga hit back through a converted try by Sosefo Ma'ake.
An early try by Selu Vailea in the second half brought Tonga back into the game but Iolo Evans sealed victory with a well-constructed try midway through the second spell.
Scotland held a 14-0 lead at the break in the Bowl semi-final thanks to two converted tries by Alex Glashan. With Evans being sin binned in the second minute of the second half Wales were facing an uphill task.
Scotland made their superior numbers count with Glashan racing over for his hat-trick. Mark Robertson's try in the dying stages hammered home the final nail into Wales' coffin.
Wales will now have to regroup for the sixth round of the HSBC World Series to be staged in Japan at the Prince Chichibu Memorial Stadium in Tokyo on 22-23 March where they will face current series leaders New Zealand, fast-improving Canada and Portugal.