The most common and most likely answer to this crossword clue is the 6 letter word NASSAU
I've seen this crossword clue in The Guardian
N
A
S
S
A
U
More clues leading to the result NASSAU
- Saunas after work? Capital!
- Twice curtailed attack on northern capital
- Saunas busted in capital
- Man finds fool’s gold in the Bahamas
- Mixed saunas in the Bahamas
- Point dimwit to the French capital
- Steamy saunas somewhere in the Bahamas
- Dawn assault captures chief island port
- Marina’s saucily concealing capital
- Northern association’s gold capital
Buddy explains!

The straight part
We know that "in the Bahamas" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case in the bahamas = nassau.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.