According to Snopes this story is complete BS. Also on Snopes was that Black Jack Pershing preferred to keep casualties low on both sides of the Philippines conflict. A few excerpts:
"When they refused to obey Pershing's order banning firearms by surrendering their weapons, his response was to draft a letter to the Moros expressing sorrow that his soldiers had to resort to killing them to enforce the order.
'I write you this letter because I am sorry to know that you and your people refuse to do what the government has ordered. You do not give up your arms. Soldiers were sent to Taglibi so that you could come into camp and turn in your guns. When the soldiers went to camp a Taglibi, your Moros fired into camp and tried to kill the soldiers. Then the soldiers had to shoot all Moros who fired upon them. When the soldiers marched through the country, the Moros again shot at them, so the soldiers had to kill several others. I am sorry the soldiers had to kill any Moros. All Moros are the same to me as my children and no father wants to kill his own children ...'
When negotiations stalled and matters came to a head, Pershing was still reluctant to be responsible for any more loss of life than was necessary:
[Pershing] went to his offices on [14 December 1911] only to hear a message from the Sulu district governor: hundreds of hostiles gathered on Jolo's Bud Dajo! The message had dread portent. Mount Dajo, awesomely high and capped with the crater of an extinct volcano, meant sacred things to Moros. It was the refuge against fate, the last bastion of the hopeless, the place where their ancestors stood off great waves of enemies. Once on the mountain, ensconced in its big cotta, Moros would die gladly, as Leonard Wood had grimly learned. Retreat to Dajo meant a clear declaration of war.
Sobered and depressed, Jack wrote of an overriding worry: "I am sorry these Moros are such fools, but ... I shall lose as few men and kill as few Moros as possible." Memories of Wood's massacre of men and families on Dajo rankled in the army and still bothered the chief of staff. Obviously another such slaughter in the winter of 1911 could adversely influence the 1912 elections in the States.
Pershing's strategy was to surround the Moros and wait them out while attempting to induce them to surrender, a strategy that worked effectively: the Bud Dajo campaign ended with only twelve Moro casualties. But in his report Pershing seemed keenly aware that the best approach was not to take any action that would encourage religious fanaticism:
As William Lambers noted, Pershing executed no Muslims. At most, anecdotal accounts attributed Pershing's success to his merely threatening to do as described."