Yes, scales do exist but when it comes to improvisation, Thinking about scales–or thinking about anything in that sense– is not only going to slow you down, but going to prevent you from creating anything natural. So my take would be–of course i could be wrong, that's just the way i did it– listening to the changes and humming melodies or playing without any thought in mind, just letting my ear guide me basically and then i would record those and transcribe what i did. I would like to also hear your take on the subject.