Interesting you asked. I was intrigued by the story that I decided to study up on it. I ordered a book called "Hunting Pirate Heaven" and it's been very enlightening.
Firstly, Henry Avery's name was actually Henry Every. Second, there's only been speculation about a pirate city off the coast of Madagascar, but it's never been discovered. Only a few obscure grave sites.
The author in the book tries to trace family lines back to the time things took place.
I think what makes this game so interesting is that little of this has been proven true, but at the same time, it's not been proven untrue. Lot of mystique and wonder.
I'm also interested learning more about Shambhala from Uncharted 2. Might dive into that next.
Oh, the URL to the book on Amazon: http://www.amazon.com/Hunting-Pirate-Heaven-Kevin-Rushby/dp/1841194883?ie=UTF8&psc=1&redirect=true&ref_=oh_aui_detailpage_o02_s00