Hard to say, the easiest way to tell is if you or someone you know 'are' a character in the dream, and which character that is.

Off the top of my head it could mean,
+The guilty deserve no mercy
+You (or someone else) are being punished unfairly, perhaps for something that is not wrong
+You deserve to be punished (the aspect of this with someone else would be the first one)
+It's meaningless, a result of something you read, saw on T.V., or heard about the day before.

Satisticly the last one is more common, but it's also the easiest to rule out.
Key factors in interpreting the dream if it is meaningful will be the feeling it inspires while you had it, the significance (to you) of puratins/pilgrims as a symbol, the
The importance of smiling as the victims bled out, how often you dream in the third person (if I'm not mistaken that it is in the third person) it also could have alot to do with your personal views on death or execution and what is happening in your life now.
I wish you luck with this.