The Andaman and Nicobar Islands

... actually define the border between the Bay of Bengal and the Andaman Sea.

You could argue that the fact that the word Andaman appears in the question should be enough to steer the contestant away, as it were, from the Andaman Sea. But that wouldn't alter the fact that the islands aren't in either the Bay of Bengal or the Andaman Sea; they're in the Indian Ocean, and they separate those two smaller bodies of water from each other.