If your migrating ancestor settled where there was no church of the "right" denomination, he may have attended the nearest church with religious practices fairly close to his own. Don't get stuck in the mindset that "all members of my family were members of only one denomination."
Your Methodist may have attended Lutheran services if that was the nearest church. Or your Baptist may have attended a Methodist church if that was the closest option.
Of course this also depends upon how "strong" your ancestor's convictions were.