I agree with most that the initial goal would be to save fuel on flights from AUS, SAT, HOU, PHX, MSY, etc. over the Gulf to MCO, TPA, FLL, PBI; and from ISP, BDL, PVD, MHT, etc. to Florida as well; it also lets them take overwater routes in case of bad weather along the Eastern Seaboard.
SJU would be a good first (and perhaps only) step if they were to eventually fly to the Caribbean; it's part of the U.S., so there are no Customs/Immigration worries, and it's a well-traveled market. And they'd certainly be able to grab a lot of AA's traffic by operating FLL-SJU, MCO-SJU, etc. I don't see Southwest operating to the other islands until far, far down the road simply because there's not enough traffic to support the frequent service they like to operate. I'd go out on a limb and say that HAV would work for WN if Castro ever went away...