"The USS Wasp, October 9, 1814, sailing in the Caribbean with a crew of 140." (Berlitz, Bermuda Triangle, p. 64.)
"The USS Wasp, which mercilessly pummeled British shipping in the War of 1812, mysteriously disappeared in the Caribbean in October 1814." (Quasar, p. 55.)
Adi-Kent Thomas Jeffrey gives you a lengthy write up in The Bermuda Triangle, pp. 63.
As for the facts:
The American warship continued her ravages of the British merchant marine. On 12 September, she encountered Three Brothers, a brig, and scuttled her. Two days later, she sank the brig Bacchus. On the 21st, an eight-gun brig, Atlanta, ran afoul of Wasp, and she, too, suffered the ignominy of capture. Deemed too valuable to destroy, Atlanta was placed under the command of Midshipman Geisinger and was sent home to the United States. She entered Savannah, Ga., safely on 4 November. From the time Wasp and Atlanta parted company, nothing was heard from the former. She was last seen by a Swedish merchantman bound from Rio de Janeiro to Falmouth, England, about three weeks after the Atlanta capture and was said to be headed for the Caribbean. Wasp apparently sank in a storm.
Snow identifies the Swedish merchantman as the bark Adonis, quotes from her log, and then elaborates:
At the time the Wasp was about two hundred miles northwest of the Cape Verde Islands. There was a rumor that a British frigate came into Cádiz, Spain, terribly crippled and with severe loss of men, and that the injuries had been caused when an American craft had engaged her in battle. The American vessel was said to have disappeared suddenly in the night, so suddenly that she might have gone down. Of course, if the relatively small Wasp had engaged a heavy frigate in battle, her fate was sealed before she began the engagement.
Another possibility which may explain what happened to the Wasp is that Captain Blakeley intended to run down toward the Spanish Main and then to pass through the West Indies. About the same time that the Wasp should have been in the area, two English frigates sighted and began to chase a craft about her size and type. A sudden heavy squall struck the three vessels, and when the squall ended the two frigates were afloat, but the Wasp, if it was the Wasp, had disappeared.
There is actually nothing surprising in a vessel of that size capsizing in a squall, especially when carrying every last bit of canvas to supply the needed speed to escape from her enemies. (Snow, Mysterious Tales of the New England Coast, pp. 238.)