​While the modern resort structure dates back to the mid-1960s, the island itself—Protestant Cay—has a much older history. In 1830, long before the resort existed, the island served as the official residence for the local harbor master. Previously known as Fort Sophia Frederika and later as Loot’s Kay (Dutch Creole for “pilot’s cay”), is a small four-acre island located about 150 yards northeast of the Christiansted boardwalk. In “St. Croix Under Seven Flags,” Florence Lewisohn states that in 1778, a fort named Fort Sophia Frederica was built on the cay and completed the following year. The fort was named after Sophie Frederikke, daughter of Ludvig, Duke of Mecklenburg-Schwerin. She was married to the brother of King Christian and later became the mother of King Frederik VI. The fort had a battery of four cannons, matching those of Fort Louise Augusta on the opposite point, at the east end of what is now St. Croix Marina, providing crossfire protection for the entrance of Christiansted Harbor. Some reports suggest the fort was constructed in the 1780s and completed in 1788.

Anecdotally, locals believe the island was named for its use as a cemetery for Protestants in the mid-1600s. During this period, the French Catholic Church, which controlled St. Croix from 1650 to 1696, allowed only Catholics to be buried on the mainland, with all non-Catholics buried away from the mainland on what became known as “Protestant Cay.”