James Bartholomew “Jimmy” Olsen’s origins are interesting. I mean his creation as a character. An unnamed office boy with a bow tie appeared in Action Comics #6 (November 1938). This is claimed by many sources to be Jimmy’s first appearance. However he is introduced by name in The Adventures of Superman radio show on April 15, 1940. Jerry Siegel and Joe Shuster are credited with creating his visual appearance and expanding his characterization. He was introduced by name in Superman #13 (November–December 1941). After a handful of appearances he disappeared. The character was revived in the Adventures of Superman television show in 1953. The character returned to the comics after a 10 year hiatus and soon gained his own title, Superman’s Pal Jimmy Olsen in September–October 1954. In 1970, Jack Kirby started writing and drawing Jimmy’s title. He used the book to launch many of the concepts he was famous for in DC, New Gods, Project Cadmus, Darkseid, Mister Miracle, The Forever People, and the Golden Guardian. Jimmy has had super powers for brief periods of time and has had the following aliases: Mr. Action, Elastic Lad, Flamebird, Accountable, and Giant Turtle Man/Turtle Boy. In the comic Superman gave Jimmy a signal watch used to call him in time of dire need. It was first introduced in Action Comics Vol. 1 #238 March, 1958.
Azrael in the comics has been two different people. Both are assassins of the Sacred Order of Saint Dumas. The name is taken from one of the names for the Angel of Death. The first Azrael was Jean-Michael Valley. He was introduced in Batman: Sword of Azrael #1 (October 1992) by Denny O’Neil and Joe Quesada. He had been brainwashed into serving the Sacred Order of Saint Dumas. He ran into Batman, who helped him shake off his conditioning. He chose his own path. After Bane crippled Batman, Valley was the Batman for a time. His methods did not sit well with the rest of the Batman Family. After a criminal’s death at the hands of Valley, Bruce Wayne reclaimed his mantle as Batman. Valley returned to being Azrael. He was killed by two criminals. Michael Lane was the second Azrael, he was created by Grant Morrison in Batman #665(June, 2007). He was the third ghost of Batman during the Batman and Son story arc. He was made the new Azrael for the Order of Purity. He was manipulated into helping Ra’s al Ghul. Both have appeared in the New 52 and beyond.
Keystone City first appeared in Flash Comics #1 (January 1940). It was the home of Jay Garrick, the Golden Age Flash. Pre-Crisis it was on Earth 2. Post Crisis it was the twin city to Central City. Post Crisis is was the home of Wally West, the Flash. In the past it was said to be in Pennsylvania, Later it was in Kansas. In 2000 it was said to be in Ohio. Finally it was stated in Flash (vol. 2) #188 (September 2002) that the twin cities were Keystone City, Kansas and Central City, Missouri. Wally West built a bridge and both were under his protection. Three miles outside of Keystone City was Iron Heights Prison which held the superpowered criminals of both cities.
Central City was introduced in Showcase #4 (September–October 1956). It was the home to Barry Allen, the Silver Age Flash, and his Rogues Gallery. Its location has been said to be in Ohio until the Post Crisis eras, where it is said to be in Missouri. In the comics Jay Garrick and Hunter Zolomon are separate characters. Jay Garrick in the Pre-Crisis and Pre-Flashpoint continuities was active since 1940. Zolomon was created in 2001. It is possible we have not seen the real Jay Garrick yet.
DC’s Legends of Tomorrow Season 1 Episode 12: Last Refuge
The only character called Pilgrim in DC Comics was a member of Wetworks. This was a group that existed in the WildStorm Universe. Wildstorm Comics was owned by Jim Lee, he sold it to DC Comics in 1999. Originally it was a sub-imprint of Image, which Jim Lee helped found. Pilgrim AKA Maritza Blackbird was created by Whilce Portacio and Brandon Choi in WildC.A.T.s #2(September, 1992). Wetworks was a team of Special/Black Ops soldiers who found themselves battling the Night Tribes, monsters. They found golden symbiotes that gave them superhuman abilities. The symbiote becomes like a golden second skin over their own. I am unsure if the Time Masters’ assassin and Wetworks’ Pilgrim are the same character.