The Holy Pilgrim, according to Takarian mythology, was a counterpart of the Holy Sages who would, according to the epic poem "Song of the Sages", lead the Takarians back into the sky on wings of fire. Unfortunately for Neelix, the Takarians interpreted this literally and tried to burn him, Arridor and Kol at the stake. (VOY: "False Profits")
The Star Trek Encyclopedia (4th ed., vol. 1, p. 344) identified the Holy Pilgrim as a demigod.