The Pilgrims set sail from England on two ships. Which ship did not make it to the New World?

Actually, they set sail on only one ship, the Mayflower. You may be thinking of the Speedwell which brought some Pilgrims to Southampton harbor to board the Mayflower. You may also be thinking of the other ships that settled the Virginia colonies (before the Mayflower set sail and landed in Plymouth). The Susan Constant, the Godspeed, and the Discovery all set sail from England together and arrived in what is now Virginia in 1607. The Mayflower (1620), the Fortune (1621) the Anne (1623) and the Little James (1623) all went to Plymouth and those on board were the early Plymouth Colony settlers.