Penkigney Bay (Russian: Пенкегней, Penkegney; Chukot: Пэнкэнэй, Pènkènèj) is a bay of the Bering Sea on the eastern coast of the Chukotka Peninsula, Russian Federation.

Merkinkan and Achinkinkan are two small islands located at the entrance of the fjord on its northern side, and beyond the point on the southern side lies Alera Bay, a small cove.

This bay was first surveyed described and mapped by midshipman Makar Ratmanov during the First Kamchatka Expedition in the autumn of 1828 led by Russian mariner Count Fyodor Petrovich Litke.

Penkigney bay was visited later in the 19th century by Adolf Erik Nordenskiöld during his Vega Expedition that made the Northeast Passage.

We found there only pure reindeer-owning Chukches; there was no coast population living by hunting and fishing.