I also have BEHAGEN ancestors. My earliest identified BEHAGEN ancestor is Mary BEHAGEN, later Meyer, born ca 1817 in St. Croix. Her mother was Rose JOSEPH, born in the 1780's in St. Croix. Rose's other children were: Ann, Elizabeth, Juliana and George BEHAGEN. I do not know the father's given name.
I came across 2 listings in the Caribbean International Genealogical Index (IGI) at the LDS Family History Center for individuals who may be related to you.
1. a marriage between a Charles BEHAGEN and Ann E. SMITH in St. Croix in 1862, no month or date given; and
2. the birth of a Sophia BEHAGEN in St. Croix in 1863 to Charles and Ann E. BEHAGEN, no month or date given.
What was your grandmother's maiden name? Was it MARX? If so, I may have some other info which may be of interest to you.
If you'd like copies of this info, please e-mail me with your mailing address and I will send it to you. Hope this helps.