The Prologue doesn't specifically mention why he is on the pilgrimage.  It was common for people from all walks of life to take pilgrimages in order to pay homage to the saints and martyrs attached to these places.

What it does tell you is that the Skipper is an "excellent fellow" who is also a thief who stole wine from the trader while the trader slept and who made his prisoners all walk the plank when he sunk enemy vessels.  The Skipper is, however, an excellent sailor as he knows all the constellations and stars by which to navigate his ship, and he is very familiar with all the seas.