I don't recall any lockers either. They do have a little shop on the island where you can buy a water wallet to take in the water with you with your key and money inside if you want to buy one.
was at cocoa cay in march. there are no lockers.
just be smart with valuables. everyone will leave your stuff alone also. enjoy the cay. i would recommend going to the backside of the cay. water is calmer and less wind. this place is a beauty!