A few thoughts. It's been a while since I've been to Coco Cay, but it was always a favorite shore stop. If you have your own snorkeling equip. and it's easy to take, then it is a great place to free snorkel. That is what we have done in the past. If you opt to book a snorkeling tour you can still use your own equipment. We do that as ours is better equipment and it is nice to know you are the only one who ever put that snorkel in your mouth.
As for taking on water, RCCL sort of frowns on that now. My wife needs Smart Water for the mineral properties and we had no problem taking it on, but they sure scoured the bottles for evidence of tampering to be sure they hadn't been opened and replaced with alcohol. But they did let her bring the water on board. We were on Allure in Sept. out of Ft. Lauderdale. Don't know if other ports are the same. But RCCL is pretty much sticklers about bringing stuff on board due to problems in the past. So it really isn't worth trying to sneak anything on. We drink bottles of water so it is worth bringing a case on for a weeks cruise. If they don't let it on it's not like it was much of an investment since a case of water at Wal Mart is only a few bucks.
As for Nassau, if you want to snorkel, I'd recommend a tour since they will take you to some good spots.
Have fun. Cruising is FANTASTIC. We began in 1998 and are addicted. Love RCCL. Did Allure in Sep. doing Freedom for New Years, and Voyager in Feb. Just can't get enough. Have a great time!