Britannica explains that this nickname arose from the "numerous embayments" on the state's Atlantic coastline, which "winds from Rhode Island around Cape Cod, in and out of scenic harbours along the shore south of Boston, through Boston Harbor and up the North Shore, swinging around the painters' paradise of Cape Ann to New Hampshire."
The Readers Digest lists five bays: Massachusetts Bay, Quincy Bay, Narragansett Bay, Buzzards Bay, and Cape Cod Bay. It adds: 'Bay' was even part of its original name, when in 1629, colonists developing the area dubbed it the Massachusetts Bay Colony. The 'Bay Colony' was dropped in 1788 with the passage of the constitution of the Commonwealth of Massachusetts.
The state is still officially known by this name (the Commonwealth of Massachusetts).
© Haydn Thompson 2021