Daragh Carville, the show's creator, posted a video on Twitter alongside the caption "Filming in Morecambe. The glamour of show-business".
In the video, crew members struggle in high winds, and cover equipment with tarpaulins to protect them from the lashing rain.
One crew member has to catch his hat to stop it flying off his head in the storm.
Carville, 50, films the scene through a window in the safety of a nearby building.
The second series of The Bay, a gritty police drama set in Morecambe, is due to be broadcast on ITV in 2020.