I am not an education specialist, but two suggestions spring to mind that
would seem to convey the immigrant experience for children entering a new
country.  Have either an audio or a guide ask the children questions in a
foreign language and then discuss how frustrating or frightening the
experience might be and how easily mistakes could arise.  I don't know if you
are planning to discuss quarantine, but perhaps you could have them
"examined" by a doctor in a sterile-looking environment, and explain to them
how long they would have needed to remain there, perhaps without their
parents or other family members.

I think audio could be a very powerful tool here--recording a babble of
voices speaking in all languages, and under that the sounds of a busy New
York street to evoke the confusion and bustle of their new home.  Are there
specific types of clothing that the children from the ethnic groups you are
examining would have worn?  Have those on hand for the children to try on,
and then contrast them with what American children would wear.  Discuss how
it would have felt to have people know you were different just by looking at
you, not to mention what you sounded like.  These are just some ideas--what a
marvelous exhibit this could be!  Keep us posted on what you decide and on
what works.

Christian Carr
Ph.D. Candidate, Bard Graduate Center for Studies in the Decorative Arts