I did a bit of a quick search on the web and there seems to be quite a number of references to Caldwell's and Huguenots.
Whether this meant that Caldwell's married into Huguenot families or whether Caldwell's were Huguenots themselves I have not followed up.

I would suggest that there may be some connections here to the French Caldwell family whose details were posted by David of Manitoba.

I think it is an interesting line of research and it would be good if someone were to investigate it further.