"HMS_Interceptor" is a relatively easy ship to modify because it only really uses one texture file, "RESOURCE\Textures\Ships\Interceptor.tga.tx". Copy and change that the same way you did with character texture files - use TX Convertor to convert .tga.tx to .tga, edit .tga with Photoshop, then use TX Convertor to convert the edited version back to .tga.tx format. The new texture file name must be the same length as "Interceptor". Abbreviate it or pad it out with "_" to make it the right length.
You will also need to copy and rename the entire folder "RESOURCE\MODELS\Ships\HMS_Interceptor". You also need to rename all the files in that new folder - for example, if you're calling the new ship "Pirate_Interceptor" then all the files need to be renamed to "Pirate_Interceptor.gm", "Pirate_Interceptor_mast1.gm", etc. The folder and .gm file names do not need to be the same length as the original, you can call them whatever you like, but they must all match each other.
Use Hex Editor to edit "Pirate_Interceptor.gm" (or whatever you called it). Find "Interceptor.tga" and change it to whatever you called the texture file, exactly as you've done for character models.
Now use GM Viewer to look at your new ship's hull and see how it will appear. You may need to edit and convert the .tga file a few times until the hull looks the way you want it.
Edit "PROGRAM\Ships\Ships_init.c". Copy the entire block for "HMS_Interceptor" and change the copy to match "Pirate_Interceptor" (or whatever you called it). The only lines you really need to change are
refShip.Name (must match the new ship model and folder name),
refShip.england (change that to 0.0, this is not a British naval ship) and
refShip.pirate (change that to 1.0, it is a pirate ship).
Edit "RESOURCE\INI\INTERFACES\pictures.ini". Find the line for "HMS_Interceptor", copy it, and change the copy to "Pirate_Interceptor" (or whatever you called it). Do not change the numbers. That way your ship will use the same interface picture as the original, which saves you the effort of having to create a new one. (Someone already did the same thing for "SP_BattleGalleon". A pirate version, "PiratBattleGalleon", has a copy of the line for "SP_BattleGalleon", so the pirate version uses the same interface picture as the Spanish version.)
Edit "RESOURCE\INI\TEXTS\ENGLISH\ShipModels_descriptions.txt". Add an entry for your new ship - you may as well find the entry for "HMS_Interceptor" and put yours near it, as it's a similar ship, though it doesn't really matter where you put your entry as long as it is in there somewhere.
A other Question: Can tell me is there the Frigate Ship Model from AOP2: COAS?
No, that ship is not included in "Pirates of the Caribbean". It doesn't even look like a frigate. Some of the pinnaces, especially "SP_Pinnace50", look a bit like that ship.