Per the US Customs website: "Persons subject to United States jurisdiction may purchase or acquire goods of Cuban origin, including alcohol and tobacco products, while they are in a third country for personal consumption outside the United States."
In other words, I believe that you can buy them on Grand Cayman, bring them onto the boat, and smoke them in smoking areas. But you can't bring any through American customs.
In Nassau, Grand Cayman, Canada, and other countries there are lots of counterfeit Cuban cigars, advertised as made in Cuba. I'm not sure how you determine that those you buy in these areas are legitimately Cuban and not imitations. A web search may help.