They may have believed they would still be able to persuade the American or Canadian authorities to let them in. I read somewhere the captain had a fallback plan to run aground in Florida to let them run for it, but the Coast Guard shadowed him so he couldn't do it. By the time they knew for sure America was not an option they may have only had enough food and fuel for the return to Europe.
Another possibility is I read many thought if they could get into Cuba they could find a way to get to America and they may not have planned on a long term stay. The Dominican may not have afforded the same opportunity.
As I said, just my speculation.
I'm not sure at what point the decision was made return to Europe but here are a few approximate water distances via Google Earth's ruler tool.
Havana - Santa Domingo, Dominican Republic = 1,700 miles
Havana - Portsmouth, England = 4,700 miles
New York - Santa Domingo, Dominican Republic = 1,900 miles
New York - Portsmouth, England = 3,600 miles