I used "pilgrim" in the broader term of immigrants -- either persecuted refugees or simply people who are brave enough to leave their homelands and try a new life against great dangers and poor odds of success.
Oh, I see, in the manner in which John Wayne used it. How apropos!
(John) Wayne addresses people as "Pilgrim" in several films. In THE MAN WHO SHOT LIBERTY VALANCE (1962), he used that response with James Stewart. And in the chaotic mudpit battle in McLINTOCK, Wayne acknowledges screen tough Leo Gordon as "Pilgrim" ... and then clobbers him.
"Pioneer" might have been more what you were looking for.