You will need to learn about the Islands and a little more about your Ancestor. Some Islands were under British Ruled,Danish and Spain. So Example, St. Thomas was Charlotte Amalie, St. Thomas Danish West Indies. It was owned by Denmark untill 1917 when it was sold to the USA. Puerto Rico was owned by Spain untill 1898 when USA took possesion but because of political issues it was not finalized untill 1917 under Jones Act and even then till 1952 under Commonwealth. Either way, if you go to the link I am providing and TAB SEARCH, SCROLL down to CATALOG and type in which Island you want you just might get llucky. I research Carribean Gen.
https://www.familysearch.org/en/