Turnips must be easier to carry.

The term Jack 'o lantern originally meant "the fellow with the lantern," specifically a night watchman patrolling the town or village while everyone is asleep. Back then the lanterns were made from turnips. Over time the crafters who made lanterns experimented: instead of one big hole for the candlelight, a few small holes. Arrange the holes in the shape of a face. Make that face whimsically morbid. Then Europeans came to America & discovered a giant vegetable called a pumpkin - giving them a bigger canvas.