Cape Finniss (also spelt Cape Finnis) is a headland located at the southern extremity of Anxious Bay on the west coast of Eyre Peninsula in South Australia about Northwest by west of the town of Elliston. It is described as being âÂÂa rocky headland with a rounded top, high.â Cape Finniss is linked by a submerged reef which is considered to be âÂÂremnants of a once more prominent Cape Finnis(s)â to the Waldegrave Islands which are located to the cape's north west.