I'd like to see an investigation by reading about Black Jack Pershing whether this is or is not an urban myth. I think we might need to do a little more examination than just reading Snopes about the issue, but I know from an Islamic cleric that the body of the shahid; i.e., terrorist/so-called martyr, does not need to be cleaned as in ordinary Islamic burial, so this Pershing story may not really pan out.
We don't want to spout ignorant things as our enemies do.
My own guess the Pershing story (bury them in pigskins) is a myth or 70% myth