The Balvenie Caribbean Cask Single Malt Scotch 14 Years Old sounds delicious from the review below.
I don't recall trying many (if any) Scotch Whiskys aged in rum barrels.

http://blog.seattlepi.com/thepourfool/2011/07/20/348/

A perfect whisky for the rum lover?

http://www.binnys.com/spirits/Balven...ed_160504.html

Price is right.