This really comes down to someone chose a name and they choose “Hudson Bay.”
A bay is a kind of sea that is mostly surrounded by continuous land. Being that it’s rather large area, it is perhaps a judgement call whether it’s a sea or bay. After all, the Mediterranean Sea is almost completely surrounded by land. An alternative name is Gulf, such as Gulf of Mexico. (Although I would argue the Gulf of Mexico is just part of the Atlantic Ocean and not worthy of being called a gulf. It is just too big. And my opinion highlights that difference is somewhat subjective.)
So I guess the answer comes down to someone chose to give it that name. (Hudson Bay is a proper noun. A bay is a type of geographical feature. Hudson Bay is a sea, bay, and gulf.)
The namers could have correctly called it a sea or gulf. That makes for an interesting follow-up historical question, “Why did they choose that name?”
I read something that suggests a bay has calmer weather than a sea, and this is a meaningful difference when you are sailing.
The differences are semantic. Why is the American continent not an island? Why is the Sea of Galilee not (always called) a lake? What exactly is the East River in New York?
It’s been called a bay for so long, no one wants to fight about it. But yes, it is a continental (mostly surrounded by land) sea with an outlet to an ocean. But which? It connects to the Arctic Circle and the Arctic Ocean. But more water goes east to the Atlantic.
James Bay is the southern area. It’s bays all the way down.
In general, a bay is closed in on 3 sides, while a sea is mostly closed in on all sides. Hudson’s Bay is largely closed in on 3 sides by mainland Canada. While the arctic archipelago does get in the way of its opening to the larger ocean, it’s still fairly open to sail out of (when it isn’t iced over).
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