Nark Galer ( Sony Ambassador) has the answer for those wanting to shoot long exposures using Bulb setting:
A popular question that will often appear on Alpha forums, however, is ‘where is my BULB” setting or ‘I don’t appear to have a BULB setting’, i.e. Nothing appears after the 30 second exposure setting. So where has it gone? The answer usually lies in your Drive Mode settings. Switch from Continuous Shooting (or Bracket mode) to Single Shooting and set the Exposure Mode to Manual and the BULB will make a magical reappearance. Problem Solved
I too was unable to find bulb despite checking other forums; one solution, to perform a setting reset, didn't work. I know you have to be in single shot, non continuous focus, and mechanical shutter but all of that still doesn't get beyond 30 seconds on my A9 post firmware update.