There is certainly a whole range of bagpipe traditions active in the USA now; but most of these seem to be of quite recent origin, and the original question seemed to be about early immigration. We can probably reasonably assume that all sorts of people took pipes with them when they went to live in the New World (hardly any country in Europe has no bagpipe tradition, and the instrument goes at least as far East as Iran and Iraq); without an appropriate social situation, however, it's unlikely that these will have survived for more than one generation.

Where reasonably large immigrant groups settled together, an imported musical tradition common to all would stand a decent chance of persisting; what we have to bear in mind is that this was not always the case; and that the pipes were in any case a minority interest in most cultures. We should not, for example, mistake the current (revived) popularity of the Galician pipes as evidence that they were similarly popular in the early 19th century. What seems to have happened is that second and third generation Americans quickly lost interest in the "quaint" and perhaps embarrassing customs of their European-born ancestors.

There are certainly surviving commercial recordings of traditional bagpipe music made in the USA (in fairly small quantities, for the "ethnic" or "race" market as a rule); I have a few (not originals) of Italian zampogne players, for example. There are also a few field recordings from the 1920s-30s available online at the Library of Congress sites, which include East European pipes. All of these, though, seem to represent "first generation" immigrant traditions, few having survived longer.

I don't doubt that the technical problems described earlier may have some bearing on all this; but it seems more likely that the traditions concerned were not in a very healthy state to begin with, and disappeared after a generation or so in the USA mainly because there was not sufficient interest in the available community to sustain them. It does seem from what people have said so far that current piping traditions in The USA are recent, deliberate revivals.