I remember the legend of The Lost Colony, but that was in the Carolinas, I think.
There was ALSO a legend, told among the tribes, of the White Indians - supposedly a Welsh adventurer named Prince Madoc made the crossing and a small band settled in the mid-Atlantic region. There are stories as far inland as Kentucky of the White Indians, when the Welsh mingled with the natives.
The lost colony was Roanoke, VA. It is now thought that the remaining settlers were absorbed by the Indians.