You can definitely bring onboard and drink onboard any alcohol bought in Key West. It's only the liquor subject to Duty that has restrictions. That's why any bought in the ship's store is held till the end of cruise. Key West being part of the US follows the same rules as any you bring onboard initially, just a few - no ice, and if it's wine, it should be in a generic bag. The only thing I've heard them stopping wine for if it's brought onboard in a special carrier from the vineyard with a big obvious logo.
Foreign ports are handled differently, and I have no experience to be able to tell you in any detail other than there are restrictions.