If you have a cap used in shunt, its not necessary to bypass that cap, since it's likely a notch filter. Just the main caps along the positive run of the tweeter. (A 0.1uF or smaller is generally recommended)
If it's a large cap used for the mids/bass, then I would consider bypassing it with a 0.1 uF cap or something 1/100th (or smaller) the value of said large cap. (A 50uF cap can get away with a 0.47uF bypass or smaller.)