So a bay window is an interesting anomaly, because it's not really a full window in the normal context. So a lot more things go into thinking about it. You can address the inside of the bay window or just the outside or both. Some people just address it as a regular window and just frame out the outside of the window, so you can do window panels.
You can just have a valance that goes over the top and just that's it, keep it at that. If you're not worried about privacy, then by all means just address the outside of the window, but never just leave it as a privacy issue and put in the hard shade inside. That's a little boring and I always feel like you need that little extra shuzz at the end.
So if you want to dress the inside of a bay window for privacy, then you can use a soft shade or a hard shade. Meaning that a regular blind that you would normally use that opens and closes, as you twist the wand or you can use a soft shade that you can raise up or you can lower.
That will give you the privacy that you need, when paired with addressing the outside of the window with either panels or anything decorative, as you would a normal window. Then you get that doubled layered effect. Remember that with a bay window if you have seating in there, also put in a nice little cushion. They may have to be custom made based on the size of your window, but it adds that little extra feature that makes it a little bit more homey.