There are a number of them, but the most systematic and thorough is the Spanish chronicler and governor of Santo Domingo don Gonzalo Fernández de Oviedo, who wrote the General and Natural History of the Indies, wherein he describes all of the animals of which he knows.

Being the inquisitive naturalist he was, he gives first hand account of most of the animals, complete with gastronomic considerations. Be it clear that I do not recommend following his advice, as a lot of the animals on which he gives culinary advice are nowadays protected by law.

Of the iguana (i.u.ana as he writes) he says that it is quite like a lizard, and that it tastes like the wild hares one hunts by the Jarama river in Madrid, that he considers to be the tastiest.

He also recommends armadillos, roasted in their own fat. He makes a very clever observation of the encubertados (that is what he calls them), in that they look like the armour one would see on a jousting horse, and that if people had known the armadillos prior to armour making, they would have drawn inspiration from them to create the horse armours.

Manatees, sharks, sloths, anteaters, bats, jutías, tortoises, alligators, etc, were all of scientific interest to him, and of gastronomic interest too. More or less, he saw himself as taking the role of a Pliny of the New World. In this regard, and as I don't know any English translations of Oviedo's titanic work, I have to recommend Kathleen Ann Myers' book "Fernández de Oviedo's Chronicle of America", published by the University of Texas Press.