I don't intend on performing in the Bahamas or Mexico, however, if I were I would procure the migrant worker visa before doing so.
I can, and have performed aboard vessels, and even if they are foreign flagged, I am not required to obtain a worker visa. The vessel's corporation provides for this, even when the vessel is berthed in foreign waters.
In the Florida Keys as a U.S. citizen, I do not need anything other than my driver's license as proof of citizenship, but I carry my passport aboard my boat when I'm sailing outside U.S. territorial waters.
Hope to see many of you down in the keys next November,