Well, that is a variation on a theme! The story of three brothers is a commom myth, and so it is with the Nellis family. They came from the Palatine region of Germany. There were two brothers and a sister. And their mother! The four of them came in about 1709 to NY having lost two or three of their family on the way. Her grandson went to Canada with the loyalists. Your NY ancestor, 4th generation from the immigrants, went to Pennsylvania. Most of the rest settled in NY for a while then moved west with the rest of the nation.
The distinction that you have, is that you come from a long list of Robert's. I will email you privately with more.