Thanks to all. As to the interlining issue, the problem was that all outgoing baggage from PR has to be screened by USDA. There isn't a USDA screening station in the Vieques airport, so we had to collect the bag for screening in San Juan. There was a Cape Air agent who said that he could check it through after screening, but then said we should just go to U.S. Airways since that would be "just as fast." In retrospect, maybe it would have worked out if we'd handed the bag back off to Cape Air.

In any case, sounds like there's not a lot to be done about it at this point, and U.S. Airways did eventually get us back to NY. It's definitely an issue that I'll pay more attention to next time!