Walpole uses the passage of his characters through the trials of life to allegorically represent the religious tradition of the pilgrimage in Chapter 3. Father Jerome, reporting Hippolita's circumstances, tells another monk that: 

All our brethren are gone to the chapel to pray for her happy transit to a better life, and willed me to wait thy arrival. They know thy holy attachment to that good lady, and are anxious for the affliction it will cause in thee; indeed we have all reason to weep; she was a mother to our house; but this life is but a pilgrimage; we must not murmur; we shall all follow her! may our end be like hers!”

Pilgrimages are long and deliberately arduous journeys to show religious devotion. This reference would have been an easy one for Walpole's predominantly Christian audience to interpret. Hippolita's life has not been an easy one, but she remains a patient and devout woman, and tries to be a loving wife and mother figure in the best way she can. Her forbearance and persistence even in the face of difficult trials align strongly with the trajectory of a pilgrimage. The fact that she becomes a nun at the end of the novel completes her "pilgrim's" journey, as she and Manfred both give up all their worldly goods to enter a religious life.