AFAIK Neanderthals didn't have clay pots - how would they hold the water to heat it and put the bone pieces in?
EDIT: I asked claude and it doesn't know for sure but guessed "stone boiling into an organic container — animal stomach, hide, or a bark vessel — remains the most plausible explanation for how they heated the water."
One point here is that you can boil water over a fire in a flammable container.
Here, this isn't about boiling, but similar: "Because the Neanderthals had no pots, we presume that they soaked their seeds in a fold of an animal skin," says Chris Hunt, a genuine (checks) expert in cultural paleoecology.
https://archaeologymag.com/2022/11/neanderthals-cooked-surpr...
They can use skulls of animals, shells of tortoises in direct heat (though not in direct flame). If they were harvesting megafauna like elephants, presumably their skulls are large. It's not implausible to assume that they were capable of controlling heat to the point where they can get the amount of heat needed to boil just water/heating up water to get marrow out.
Animal stomach, bladder can be heated to boil water indirectly (fire to heat stone, stone to heat said vessel).