There would have to be a lot of support for me to try it.
Regardless of the boat, I wouldn't try something like the Cuban run, or sailing to the Bahamas without a big chase boat. Preferably power, just because a big blue water cruiser would have trouble staying in sight.
Just wanted to add, because I'm a big ol' pussy. If you think you've got the skills, cajones, luck, and equipment to pull it off, have at it.
I think running down the coast wouldn't be too bad, se you said Pete you can always scramble for land.