Coney Island is part of the chain which makes up Bermuda. It is located in St. George's Parish, in the northeast of the territory.
Map of Coney Island, Bermuda
The island cover 14.5 acres (5.9 hectares), close to the western entrance to Castle Harbor, southwest of the town of St. George's and close to the southern entrance to Ferry Reach.
References
Coney Island, Bermuda Wikipedia(Text) CC BY-SA