rump told the audience - which included a woman in a shirt that read 'Make Racism Great Again' - that this was an example of how he would get 'tough' if he was president.
'We better start getting tough and we better start getting vigilant, and we better start using our heads or were not gonna have a country, folks,' said Trump.
He also said of his tale; 'By the way, this is something you can read in the history books. Not a lot of history books, because they dont like teaching this.'
The story seems to come from the time when General Pershing was stationed in the Philippines between 1909 and 1913 and was governor of the Moro Province.
He had previously served as military governor of the Moro Province at the turn of the century.
The Moros were Muslim and at the end of General Pershing's time in the Philippines the Battle of Bud Bagsak broke out, where Moro resistance fighters fought the Americans occupying the area.
The Moros and their leader were ultimately defeated by Pershing and his army.
Trump also spoke about waterboarding, labeling the practice as 'minimal, minimal, minimal torture.'
After the speech one of his supporters, Eleanor Crume, spoke with MSNBC, saying; 'We need someone who can lead the country because people are scared to death.
Subject: US Army General John Pershing (above)
'Its only a matter of time before terrorists come and start chopping Christian heads off in the United States.'
Trump also took some time to talk about guns, and claimed that his numbers began to soar after the deadly massacre in Paris last November.
'When Paris happened, everyone started saying, "We want Trump!"' he claimed during his speech.
'The polls came in, 60 percent, 70 percent, 72 percent. This is 72 percent with 17 people running. Now were down to 6, we got rid of all these people. Its so great. Its so great.'
He went on to say that if the 14 people who were killed in the San Bernardino shooting had guns there would have been less fatalities.
Trump referenced this tragedy on the same day he called for a boycott of Apple because the company is refusing to allow the government to hack the phone of shooter Syed Farook.
'I use both an iPhone and a Samsung and if Apple doesn't give the information to the authorities on the radical Islamic terrorists I'll only be using a Samsung - until such time as they give the information,' he said during a speech earlier in the day.
'Hopefully others will follow suit. Our country needs and should demand security. It is time to get tough and be smart!'
Trump currently holds a large lead over the other Republican candidates in South Carolina, where the primary election will be held Saturday.