Key West: everything within walking distance. We are doing this cruise also. We have been to the Keys dozens of times (we live in So. FL) they have tons of little bar/grill type inexpensive restaurants down there and it is a safe place to walk. For me I'd rather eat for free on the ship
Nassau: You can eat lunch before getting off the ship. Coco Cay lovely BBQ put on by the cruiseline people!