With openssh in windows, it's been quite easy to run an x server in windows, and use ssh with x forward for gui access.
But rdp feels more native to windows, and both x and Wayland has rdp server backends - so you can do things like: https://www.nextofwindows.com/how-to-enable-wsl2-ubuntu-gui-...
But apparently ms is working on a Wayland compositor allowing directly running gui apps - I don't think it's quite there yet:
https://www.phoronix.com/scan.php?page=news_item&px=Microsof...
https://github.com/Microsoft/WSL/issues/938#issuecomment-763...
Somewhat related: https://ltsp.org/ I'm not sure about the state of a non-x rdp server for thin clients though.