Irregular Webcomic! #4219

Baracoa is the oldest European settlement in Cuba, founded in 1511 on the site where Christopher Columbus first landed in Cuba in 1492 (after previously making first landfall on his voyage, probably on San Salvador in the Bahamas, about 400 km north). It's on the eastern end of Cuba, whereas Havana is much further west. So if you were to scour the Caribbean from west to east, you'd probably want to start at Havana, otherwise you'd skip it.

The Windward Islands refers nowadays to the group of small islands at the far south-eastern end of the Antilles island chain (stretching from Cuba to Grenada), comprising from north to south: Dominica, Martinique, Saint Lucia, Saint Vincent, Grenada. These are the southern islands of the larger Lesser Antilles group, which stretches from the British and US Virgin Islands to Grenada, and includes the Leeward Islands (the Virgin Islands, Anguilla, Saint Martin, Saint-Barthélemy, Saba, Sint Eustatius, Saint Kitts and Nevis, Antigua and Barbuda, Montserrat, and Guadeloupe) as its northern component. Dominica used to be considered part of the Leeward Islands, until it was transferred to the British Windward Islands Colony in 1940. For completeness, the Greater Antilles (Cayman Islands, Cuba, Jamaica, Hispaniola, Puerto Rico) completes the whole Antilles chain.

So... why didn't Captain Ponsonby say that he wanted to scour the whole Antilles?

Because the modern names of these island groups were not fixed until more recent times, with the name "Antilles" only being applied to the whole chain from the late 18th century. Prior to this, the Spanish (at least) referred to the entire chain from Cuba to Grenada as the "Windward Islands". The British used the name the "Forward Islands" from earlier in the 18th century, but I don't know what they called them before that. So Ponsonby is using the contemporary Spanish terminology here.