There was indeed a pirate named "Black Jack Bellamy" his real name was Samuel Bellamy. His preferred hunting grounds indeed was the area around Florida, but he died in 1717. So when Callie told the story that Bellamy attacked the "Magdalena" in 1753 she was telling a historical impossibility.
Cap's Place in Lighthouse Point, Florida is used for the bar where Longworth and Callie exam the Legends of Magdalena book.
The shipyard scenes are actually Merrill Stevens Boatyard on the Miami River. The boatyard opened in 1885 where WWI and WWII Navy and Marine vessels were repaired.
Oleta River State Park was used for the Mangrove Swamps where Callie and Longworth found the buried treasure.
The Sea Watch on the Ocean restaurant in Ft. Lauderdale was used for the Dockside Restaurant where Longworth questions Mark Ellison about his partnership with Johnny Hasker.
Johnny Hasker's corpse floating in the water at the beginning of the episode was actually a stunt man wrapped in plastic.