Note: Puerto Ricans don't really "immigrate"
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Yes, I think you (or rather, your grandmother) have been the victim of the perhaps poorly chosen names that family historians use for various things.
There is no "arrival" event (so far as I can see) in the FamilySearch records that can be used. There's only "Immigration" which gets used for both genuine immigration and the arrival of anyone and everyone. Heck, even the original documents get it wrong on occasion - I'm just looking at a 1906 passenger list for arrivals at Ellis Island and the heading on the page is "List or Manifest of Alien Passengers for the US Immigration Officer ..." Thirteen of the 16 entries are for American citizens, who clearly aren't Aliens.
So sorry about that, but that terminology is likely to be stuck.
Incidentally, you might be able to alter her data by creating a Custom Event of Arrival to replace that Immigration event and tagging the appropriate source.
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To answer your question: No.
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Technically they do not immigrate, but Puerto Rico has its own national culture and its political culture has traditionally defined it as a nation, not just a state or territory. But no, technically they don't immigrate, as Puerto Ricans are US citizens by birth.
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Puerto Rico is an interesting case, for all the reasons @LudovicMarsillach supplies.
Immigration implies non-citizenship, yet moving from PR to a US state really does seem more a shift than a migration. I suspect the same might be said for an indigenous Hawaiian, an Alaskan native or someone leaving a First Nation.
Pending better advice, I'm inclined to create a custom event titled Migration and allow the origin Place to suggest the magnitude of the transition.
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Puerto Ricans are by far not the only subjects of this mislabeling: Source Linker will cheerfully offer an "immigration" event for all U.S. citizens returning from trips abroad. Also, indexes of ship manifests and border crossings lists never include or take into consideration the "are you staying?" column. (Going by his sources, the Famous Relative immigrated just to the U.S. at least four different times.)
FamilySearch is not alone in this overuse of the word "immigration": most of Ancestry's collections in the category would also be more accurately labeled as just "Travel".
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When someone changes their residence from New York to New Jersey, we don't say they "migrated". We say they "moved". Saying a Puerto Rican "immigrated" does have a cultural implication of "non-citizenship". Using the word "migrant" or "immigrant" implies non-citizenship in our culture, despite the "technical" definition. That kind of language has a lot of repercussions, especially when there is law enforcement present. It is really unfortunate that FamilySearch uses this language for Puerto Ricans.
Instead of thinking of Puerto Rico as an "interesting case", I prefer to think of the laws of the US government as "interesting". After all, Puerto Ricans are second class citizens even in their own homeland, as a direct result of outdated US laws. Recently, in the news a Puerto Rican man who flew to New Orleans to help his son move was denied a car rental because both the customer service person and a cop mistakenly demanded that he show his passport. This happened despite the man having a valid driver's license, which is accepted like any other state's official driver's license in the US. So you may think I am discussing semantics here, but I am not. Words have real life repercussions for black and brown people. This is why black and brown people are less likely to use services like FamilySearch. I had hoped that FamilySearch might be sensitive to these issues.
I am Boricua and respectfully ask FamilySearch not use the word "immigrate" when referring to my Puerto Rican family. I'd prefer that you didn't create stories about my family if you aren't going to listen to my request. Thanks.
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