He is referring to the Pilgrims and Puritan migration to New England in the 1600s. Massachusetts and Connecticut were Puritan strongholds, and even sheltered some of the Regicides who killed King Charles I.

However, I disagree with the whole "Puritans founded America" line. New England is only one small part of the USA, tucked away in the northeastern corner of the country. The rest of the colonies had completely different origins from NE and they were not Puritan strongholds by any means. In fact, the Quakers of Pennsylvania were persecuted in New England.