gpg and gpg-agent support opening a Unix Domain Socket in Windows for use with SSH. However, this appears to fail as OpenSSH for Windows does not support Unix Domain Sockets when configured in SSH_AUTH_SOCK.

There are ways to bridge this using third-party programs such as https://github.com/benpye/wsl-ssh-pageant and configuring gpg and gpg-agent to run in pageant mode and using the aforementioned program to open a named pipe that can work with OpenSSH for Windows when set to SSH_AUTH_SOCK.