Chapels in churches are often alcoves. Picture one set off to the side with a vaulted ceiling, separated by pillars and a small railing. See that and you see an alcove, defined.

If your bed is in an alcove in a studio apartment, it is in a recessed area of the room, separated by an arch or a half wall but not by a door. Think of an alcove as a sidecar to a room or even a cave. It's a separate smaller area that is still attached, but feels cozy because it is partially enclosed.

Definitions of alcove
  1. noun
    a small recess opening off a larger room
    synonyms: bay
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    carrel, carrell, cubicle, stall
    small individual study area in a library
    type of:
    niche, recess
    an enclosure that is set back or indented
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