Yes, get in touch with the NY Consulate. They'll help send the body back to BD in terms of arranging logistics, writing letters to the necessary authorities, etc. I've seen BD Consulates and Embassies doing this even when a BD passenger dies in transit.
However, you should note that the Consulate or Embassy will not pay for the air transfer of the body - that is the responsibility of the deceased's relatives/friends etc.
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