So it sounds like maybe-yes? My use case is machine learning. I have an AMD GPU and tensorflow is supported through ROCm, but ROCm only runs under ubuntu. Currently I dual boot Windows/Ubuntu but would love to be able to stay in Windows.
You would need PCIe pass through, so the VM could control the GPU. For that, you would need either separate GPU, or a GPU that supports SR-IOV, and a board that supports IOMMU.
ROCm specifically is not only userland, but also a kernel driver (amdkfd/amdgpu). To use it, you are going to dual boot into native Linux for a while.