There was even a period of time when Cygwin's X server supported GLX and I managed to get some OpenGL software I wrote for Linux to run in Cygwin, but for some reason it was removed or stopped working.
You can still accomplish this with the cygwin packages xorg-server and xinit. You can then export DISPLAY=:0 in your bash shell and have working OpenGL, e.g. glxgears assuming you have the necessary packages available in your "remote" session/WSL. Here's a GitHub gist I use for this: https://gist.github.com/andrewmackrodt/b53943185bbbd804ef4b0...