Assuming you are talking about sailing it there you have a few options.
1 - sail down the east coast, around FL and into the Gulf, then up Mobile Bay into the Tenn-Tom river all the way to Kentucky Lake
2 - sail up the Hudson River to the Erie Canal system to the Great Lakes and eventually Chicago and connect to the Mississippi and down to St. Louis
3 - sail the boat down to the lower Chesapeake and have the boat trucked over to Kentucky Lake
Option 1 or 2 would require you or someone to have a lot of free time (months) to make the trip.
With option 1 you might be able to make some good time doing ocean hops. With option 2 you would have to take the mast down to go through the Erie Canal.
Good luck.