Not for Everyone!
You can snorkel around the point at Whistling Cay and return through the passage between the cliffs on the cay.

There’s a really cool snorkel route around the reef and rocks on the eastern side of Whistling Cay. It’s not for everyone though as you will need to be an experienced snorkeler for this one.
Beginning from the moorings head out north to the rocks on the eastern tip of the island. It’s really a beautiful snorkel, still very colorful and very dramatic.
Instead of returning the way you came, however, you can continue around the point and come ashore on the little passage through the rocky cliffs of Whistling Cay. The water on the north of the cay can be rough and you’ll need to take care climbing on to the island, particularly to avoid sea urchins and corals.
From land you can now walk through the passage and snorkel back to your boat avoiding the slight northerly current that sometimes makes getting back from the rocks on the point to the moorings a little more difficult than heading out.
See Whistling Cay Snorkel Blog Entry
See Whistling Cay Website Description