How do I create a curved '1930s' style bay window?
Well obviously you could create a specific family for one. The ones included in the metric library tend to relate to newer style construction.
However also you may wish to consider using the Curtain Wall tool. (For best effect ensure that the embed in wall option is ticked, in the system family properties) Divide the grid out as normal, then replace fixed glazing panels with curtain wall units as desired.