So do I send it to my BNB wallet on Binance under BSC?
Yes.
Check the withdrawal network of BNB, I haven't used Coinbase for a long time so check that and choose the right network if it's giving the option and it should be BSC.
If you want to send it to your BNB wallet, also choose the receiving address that's in BSC network to avoid any conflict. Because once you send it at the wrong network, it's unlikely to be recovered.
It happened for so many times in different users so be careful with that and choose the correct network for sending.