Window comparator using LM339 - invert output
Put the LED between the combined output and ground and put the resistor directly to 12V.

When either of the comparators turns on it will short the output to ground and turn off the LED.

The function needed is a logical AND. The input level should be less than the upper limit AND above the lower limit.

The original connection of the LED performed a logical OR - it would light if the input was above the upper limit OR below the lower limit.

The open-collector outputs of the LM339 cannot be configured to do a logical AND but by inverting the logic we can do a DeMorgan conversion and now cause the LED to be OFF if the input is above the upper limit or below the lower limit which means it is ON while the input is within the window.