We consider the problem of robustness against adversarial attacks in cooperative multi-agent reinforcement learning (c-MARL) at deployment time, where agents can face an adversary with an unknown objective. We address the uncertainty about the adversarial objective by proposing a Bayesian Dec-POMDP game model with a continuum of adversarial types, corresponding to distinct attack objectives. To compute a perfect Bayesian equilibrium (PBE) of the game, we introduce a novel partitioning scheme of adversarial policies based on their performance against a reference c-MARL policy. This allows us to cast the problem as finding a PBE in a finite-type Bayesian game. To compute the adversarial policies, we introduce the concept of an externally constrained reinforcement learning problem and present a provably convergent algorithm for solving it. Building on this, we propose to use a simultaneous gradient update scheme to obtain robust Bayesian c-MARL policies. Experiments on diverse benchmarks show that our approach, called BATPAL, outperforms state-of-the-art baselines under a wide variety of attack strategies, highlighting its robustness and adaptiveness.