We spent a winter in Corsica about 15 tears ago & stayed in Porto Pollo near Propriano for several weeks- there was a New Years night in the bar/restaurant with vast amounts of food, accordion playing & singing & local dancing. It was very expensive, about 5o euro each as I recall- no other sign of local music, in winter, of course.
Can't help with Sardinia- we planned to meet some friends there over the winter, and went for the ferry from Bonifacio several times only to get the answer- 'Sorry, M'sieur/Dame, ze boat eez broke'