to clarify "they" could find you anywhere anytime they wanted to. Often "they" don't really care about a cruising boat going to and from the Bahamas
To the OP. Sure CBP could know that you are in the Bahamas
, they certainly have the capabilities to find you if they so chose but it's unlikely anyone is going to track your comings and goings unless you give them a good reason to do so, they have more important things to do.
That said, yeah you could hypothetically go to say Bimini
for the weekend check in the Bahamas, sail back, and not tell the CBP you went. It's probably not the best idea ever.