I picked that name for a couple of reasons. The main reason is that a heathen is a person who does not share one’s religion. Christians see non-believers as pagan; Muslims see them as infidels; and as far as Jews are concerned, gentiles can never be members of God’s chosen people.
One thing we all have in common is that someone, somewhere considers us heathen. And if you want to travel outside of your own circle, you must be willing to be considered a heathen by someone else. If the people around you are not considering you heathen yet, you have not traveled far enough from home.
I also have a tongue-in-cheek reason. A secondary definition of “heathen” is “a rude or uncivilized person.” I’m a fairly polite and well-mannered person. So calling myself a heathen pilgrim is a bit of an attempt at self-deprecating humor.