Here is one way to deal with shades in a bay window.
The smaller shades do have returns on both ends. All the shades are on 1.5" boards, so at the inner edges the returns are 1.5". On the outer edges, the return extends beyond the board 3" for a return of 4.5". That's why there is a bit of a tail on the outer edges but not in the bay corners.
The larger shade snuggles up to the 1.5" returns which helps make the shades look continuous.
Just to be clear- there are no pleats, tucks, or folds in the shades; they are flat at the top. That is the natural droop of the fabric.