Here is the link to the CDC's information page. There have been 21 Zika cases in Florida but all have been travel related. The travel warning that the CDC has issued does include the Caribbean but not the Bahamas. As it does in Florida, it really depends on the weather. If it's rained a lot and there's no breez the mosquitos are worse. It's always best to take precautions by using bug spray or a sunscreen that includes a mosquito repellent (however I've not done that on our 2 cruises).
http://www.cdc.gov/zika/geo/index.html