I can't seem to find a concrete answer on this matter. Some sources say he realised he had found new land (Which is false, since he swore he had landed in Asia all the way to his grave). Other sources say he thought he landed in The East Indies, Japan, Or China.
Most sources claim he thought he landed in Japan, but as I said, the sources vary on this matter, and they never seem to show concrete proof that Columbus thought this.
So, I come to you /r/AskHistorians. Where did Columbus THINK he had landed when he landed in Cuba?
He didn't believe that he was on Japan proper when he first made landfall on the Bahamas, but rather that he had arrived on some outlying islands. I touch on Columbus a little more here, but most the most relevant tidbit is that descriptions of Cuba were taken to be references to Japan, refered to as 'Cipangu' in that period. This is explicitly attested to in Columbus' journal, which you can find excerpts of online. Here is him speaking specifically of this on Oct. 21:
I shall then shape a course for another much larger island, which I believe to be Cipango, judging from the signs made by the Indians I bring with me. They call it Cuba, and they say that there are ships and many skilful sailors there.
You'll find various other translations out there:
Afterwards I shall set sail for another very large island which I believe to be Cipango, according to the indications I receive from the Indians on board. They call the Island Colba, and say there are many large ships, and sailors there.
but they do all indicate that thought he was heading for Japan when he left the Bahamas for Cuba.