I would recommend the BA exLGW into TPA (Tampa), three class NCW, WT+, WT, so VC10 Boy in J will feel like VC10 Boy in F....

The an easy hour long connecting flight to the EYW on a Beechcraft1900 (1-1 seating) via Continetal Connection. It is a nice flight, and really gets you into that Key West feeling, with great views.

TPA immingration is easy peasy, and the terminal (upstairs at least) has free WiFi and a nice Continental Lounge to while away the brief wait. I have done this twice now, and it is the best option.

As an aside,on the return the BA is not daily exTPA, so you can fly to EYW-FLL for a few days there and fly back from MIA.

Do also consider connection through ATL, as Delta flies jets from there to EYW, and though a longer flight in domestic Y is comfortable if you cannot cope with props.