It wasn’t the Pilgrims.
(Remember the Pilgrims*? They were the folks who settled in New England because they couldn’t find Virginia–which was probably just as well. Their brand of theocracy probably would not have gone well with the Virginians, who were basically in it for the money. However, there seem to be some who would attempt to re-establish their theocracy today.)
In the English-speaking heritage of the United States of America, it was the Virginia colonists.
But even they have a shaky claim to being the absolute first.
Oh, and have a nice Thanksgiving, those who celebrate it.
*This is a great link!