The story
From Pelly + bay. Named after Sir John Pelly, the governor of the British colony corporation, the Hudson's Bay Company, that operated the colony of Rupert's Land, that includes this body of water.
Etymology from Wiktionary, CC BY-SA 4.0.
Pelly Bay
Today it means: A bay on the Gulf of Boothia, separated from it and Committee Bay by the Simpson Peninsula. Full definition →