Can be found: Uncollected Stories: The Unknown Conan Doyle
Set in 1868, the story involves a young Scottish midshipman who in an attempt to impress his sister's fiend takes the two girls on a boating adventure in the Firth of Clyde. The children encounter a storm that their flimsy vessel cannot withstand and are rescued on the point of perishing. The rescuers, who mysteriously shield their indentities, become nervous at the sight of a British Navy gunboat. Apparently they have jeopardised their own safety to land the children on the Isle of Man.