I use ArchLinux and TeXLive 2022, LuaHBTeX 1.15.0, with cambriab.ttf cambriai.ttf cambria.ttc cambriaz.ttf located in /usr/local/share/fonts/c
\documentclass{article}
\usepackage{fontspec}
\setmainfont{Cambria}
\begin{document}
abcd \textbf{abcd}
\end{document}
This produces:
and a warning
Font shape `TU/Cambria(0)/b/n' undefined
(Font) using `TU/Cambria(0)/m/n' instead.
PS: I have installed all 5 Cambria (R, B, I, BI, Math) fonts from Windows.
cambriab.ttf cambriai.ttf cambria.ttc cambriaz.ttf
located in/usr/local/share/fonts/c
\setmainfont{Cambria}
to\setmainfont{Cambria}[BoldFont=CambriaB]
?fontspec
relies on to map font descriptors into actual file names on various operating systems have actually become rather good. Nevertheless, as you've discovered, a bit of extra help is still needed from time to time. If you haven't already done so, do take the time to acquaint yourself thoroughly with the user guide of the fontspec package. It'll be time well spent.