When you load fontspec it tries to adjust the math alphabets (\mathbf etc) to the main document font. E.g. if you set Arial as main document:
\documentclass[]{article}
\usepackage{fontspec}
\setmainfont{Arial}
\begin{document}
$\mathit{x} = \mathbf{y}$
\end{document}
you get

Sadly this has the side effect to break accents inside the arguments as the new math alphabets use a different encoding than the standard math operator font and \dot is defined so that inside \mathbf it tries to use a glyph from \mathbf which isn't there.
Using the no-math option solves the problem with the dot accent but also doesn't adapt the math alphabets:
\documentclass[]{article}
\usepackage[no-math]{fontspec}
\setmainfont{Arial}
\begin{document}
$\mathbf{\dot y}, \dot{\mathbf{y}}, \mathit{x} = \mathbf{y}$
\end{document}

If you want to retain the math alphabets you could redefine the \dot command (imho using \mathalph is wrong anyway):
\documentclass[]{article}
\usepackage{fontspec}
\setmainfont{Arial}
\AtBeginDocument{\DeclareMathAccent{\dot} {\mathord}{legacymaths}{95}}
\begin{document}
$ \dot{y}, \mathbf{\dot y}, \dot{\mathbf{y}} $
\end{document}
This gives the correct dot but it is not bold inside \mathbf (which isn't a good syntax anyway, so you don't gain much compared to the correct input):

To adjust this you could add a definition for a bold dot:
\documentclass[]{article}
\usepackage{fontspec}
\setmainfont{Arial}
\AtBeginDocument{\DeclareMathAccent{\dot} {\mathord}{legacymaths}{95}}
\DeclareSymbolFont{boldlegacymaths}{OT1}{cmr}{bx}{n}
\DeclareMathAccent{\bolddot} {\mathord}{boldlegacymaths}{95}
\begin{document}
$
\mathbf{\dot y}, \dot{\mathbf{y}}, \bolddot{\mathbf{y}}
$
\end{document}

With unicode-math you should really better avoid to use accent commands inside math alphabets and resort to some switch to text mode if you want the bold dot:
\documentclass[]{article}
\usepackage{amsmath}
\usepackage{unicode-math}
\setmainfont{Arial}
\begin{document}
$
\dot{\mathbf{y}}, \mathbf{\dot{y}}, \text{\normalfont\textbf{y^^^^0307}}
$
\end{document}

$$ ... $$in LaTeX, cf. Why is\[ … \]preferable to$$?. – Torbjørn T. May 20 '18 at 06:10fontspec– pkj May 20 '18 at 06:54lmodernpackage. – Johannes_B May 20 '18 at 06:57\mathbf{\dot y}has always been wrong syntax and should be\dot{\mathbf{y}}– egreg May 20 '18 at 09:26