David Nilsen

I am trying to find a record for David Nilsen leaving Norway and coming to America. Yesterday, as I was telling my aunt about the research I was doing, she asked if I have any records of her grandmothers brother, David Nilsen. From what my aunt told me, David was suposed to meet up with his sister Helma Kallerud (Nilsen) once he made the trip, but never heard from him again. I have a 1900 census of the family and there is no David listed. It could possibly be a middle name. According to the 1930 U.S. census Helma came over in 1922 although Ive never been able to find a record for that either, so if David was suposed to meet her when he arrived, it would have to be in 1922 or after. Can anyone help or have any ideas on how to find out what happened to him?