In the United States the word "Pilgrims" usually refers to the European settlers of New England, who celebrated the "First Thanksgiving" with the Native Americans in 1621. (from Wikipedia, the free encyclopedia) Everyone knows they sailed to the New World and when you think of Pilgrims, you can't help but think of big sailing ships.
But ultimately we are huge John Wayne fans and feel like we are what John Wayne portrayed when he said, "Pilgrim."
Famous John Wayne quotes:
"Pilgrim." (The Man Who Shot Liberty Valance - Reportedly he used the expression "Pilgrim", as in "tenderfoot" or "dude" or "amateur", 23 times in that film, and once also in McLintock!. It became a catchphrase for impressionists such as John Byner, and Rich Little)
"I haven't lost my temper in 40 years; but, Pilgrim, you caused a lot of trouble this morning; might have got somebody killed; and somebody oughta belt you in the mouth. But I won't. I won't. The hell I won't!" (He belts him in the mouth). (To Leo Gordon in McLintock!) (from Wikipedia, the free encyclopedia)
And frankly, nobody says America better than John Wayne.
So that is how we came up with the name "Pilgrim"; nothing fancy or witty, just one word that talks to us.