Captain Wentworth, the last man to command the fictional Asp, was sent to the West Indies in 1806 and saw success fighting both privateers and a French frigate.
This painting, Duckworth's Action off San Domingo, 6 February 1806, depicts just such an encounter in the West Indies. Painted by maritime artist Nicholas Pocock, it captures the moment when the British ships, under Sir John Duckworth, are engaging the French.
For more on the British West Indies, see here.
A sloop was a single-masted ship used in the 19th century Royal Navy as a warship. It only had a single gun deck, and was therefore one of the smallest warships in use. It is distinct from the sloop-of-war, a catch-all term used to describe ships of different rigs and sizes.
A British man of war, like that seen in this 1796 aquatint by John Fairburn, was a ship constructed and armed for battle. Mrs. Croft points out that the least feminine ship of them all, a battleship, was suitable for her.
Mrs Croft regards this as a modest list, but it would have been very exotic to all the women listening: Cork in Ireland, Lisbon in Portugal on the west coast of Europe, and Gibraltar, which divides Spain and Morocco.
Bermuda, an island not far off the eastern seaboard of the United States, had been a British territory for about two hundred years when Mrs. Croft speaks about her travels. And the Bahamas, made up of dozens of islands, are situated roughly between Cuba and the United States.