What's the irony in the Purtans' pilgrimage to Salem to escape persecution?

You might have just answered the irony in your own
question.  The Puritans sought to escape from religious persecution, to worship God in
their own way and find spiritual happiness from an oppressive external force.  Yet, in
their zeal and desire for purity, the Puritans of Salem actually end up representing
everything that they sought to leave.  The oppressive forces end up becoming the
Puritans who seek to find witches, force confessions that are inauthentic, as well as
seek to control all aspects of freedom in the name of fighting witches.  How the
Puritans behave is completely opposite of what they left and in becoming what they
detest, we can see the frailty that surrounds the Puritan community.  In the end,
Miller's recreation of Salem reminds us of how dangerous it is to act in a manner that
betrays our own heritage and past.