I was just in Nassau yesterday on a cruise. I saw this thread before I left but my wife had already booked us on an excursion to Atlantis so I didn't manage to get over to Graycliff.
I did check out Havana Humidor while I was at Atlantis though. It was a nice shop. It wasn't overwhelmingly large but they had a good selection. You could buy anything they had as a single and then they also had boxes, 3-packs, 5-packs, etc. Prices were RIDICULOUS though. According to the salesman I spoke with he said there is a 300% tobacco importation tax in the Bahamas. A Punch PC just to give an example was $12 and I think a Monte #2 was $27.