http://mappoint.msn.com/(4tj0itnexxqwbq453xeh2t55)/map.aspx?L=USA&C=29.29533%2c-94.80787&A=43.00000&P=|2DB6|&TI=Galveston%2c+Texas%2c+United+States
Yes there is Galveston Bay it is primarily to the NORTH of Galveston City. The sun does not set to the NORTH even in Texas - especially in TEXAS.
If you watch a sunset in Galveston you will watch it set over the i-45 bridge many times of the year. My suggestion is to purchase a map. I suppose at some time of the year and if you were in the correct part of the city (standing on the i-45 bridge) there are times it could appear to set into the West Bay. But I think the effect is similar to all those dopey tourists that come to Key West to see the sun set over Tank Island. I never saw the attraction to this. BTW the sun only sets in the west twice a year.