I've done Brownsville to the keys, but not the keys, bay of Campeche to Brownsville. I heard of a couple that sailed their trailer sailor from keys, along the US gulf coast, to Yucatan Campeche side, but I don't think they did the hop over Cuba to the keys( to complete the circle). I can't find any reference of them online, this was before the blogging era
I think the idea of circumnavigating the gulf is not as tempting as other bodies of water due to the oil rigs, and how shallow it is, and the gulf stream interference. Not that it cannot be done.