I was a navigator in the CG and I sailed in those waters for 3 years and every single time we went into that area our gyro and magnetic compasses would also go completely nuts. There is definitely some magnetic abnormality in that area.
When the Bahamas finally open up again (Covid restrictions make it undesirable for us right now), we’ll sail over and find out.
But, with the thousands of recreational sailors and power boaters that spend time over there every year, I find it hard to believe that anything seriously wrong is happening.