After lot of searching and information I came to conclusion to travel from Delhi to Grand Cayman.
I am thinking of two separate ticket booking: 
1. Delhi (Del) to Moscow(Svo)
5:10 Am - 9:20 Am Aeroflot.
Layover 2:40 Hours  
2.Moscow(Svo) to Havana(Hav).12:00 Pm - 5:15 Pm Aeroflot.
3. Havana - Gcm after 22 Hours.
I want to Know about the checked in luggage. will It directly reach Havana or I have to collect it at Moscow airport. 
I will not be requiring any visa to transit at Moscow or Havana.