It was real. From Moroland: The History of Uncle Sam and the Moros 1899-1920:

Before Pershing’s arrival and without seeking his approval, [Colonel West, a new arrival to the Philippines] made a public burial of the bodies of the three dead Moros, Rodney’s killer and the two juramentados, all placed beside dead pigs.

It was also ineffective:

Once again, most Moros shrugged their shoulders and thought Americans to be a strange and inscrutable race if they thought such a stunt would stop the deranged or dissuade religious fanatics.

Moro violence continued throughout Pershing's tenure and continued after he left the Philippines. The eventual U.S. solution was simply to hand over administration of the Moroland to the Filipinos and withdraw.

This story is similar to other supposed remedies for dealing with Islamists by either engaging in rapid brutality or by demeaning Islamic sensibilities. For example, this widely touted legend about how the Russians dealt with Hezbollah kidnappers:

The KGB then apparently kidnaped and killed a relative of an unnamed leader of the Shias' Hezbollah (Party of God) group, a radical, pro-Iranian group that has been suspected of various terrorist activities against Western targets in Lebanon.

Parts of the man's body, the paper said, were then sent to the Hezbollah leader with a warning that he would lose other relatives in a similar fashion if the three remaining Soviet diplomats were not immediately released. They were quickly freed.

No one is ever able to substantiate these stories. If the Russians employed such effective tactics, it somehow didn't help them in Chechnya.

Pershing's actual approach to Moro violence was far more discerning, less reliant on mythical scare tactics and closely resembled what we would understand today to be counter-insurgency methods of winning hearts and minds.