Final answer:
Massachusetts is the state that encompasses Cape Cod Bay, Buzzard's Bay, Massachusetts Bay, Martha's Vineyard, and Nantucket, all of which have historical significance dating back to the Massachusetts Bay Colony.
Step-by-step explanation:
The state that has Cape Cod Bay, Buzzard's Bay, Massachusetts Bay, Martha's Vineyard, and Nantucket is Massachusetts. These geographically significant areas were historically part of the Massachusetts Bay Colony, which existed from 1630 to 1691 before it transitioned into the Province of Massachusetts Bay, lasting from 1691 to 1775. Cape Cod Bay is located on the easternmost coast of Massachusetts, while Buzzard's Bay is to the south, sheltering the coastline near the city of New Bedford. Massachusetts Bay is an expansive bay on the eastern coastline, bordering the Greater Boston area. Martha's Vineyard and Nantucket are well-known islands situated south of Cape Cod.