USB (non-networked) SDRs need to run GNU Radio through Windows directly, since Windows Subsystem for Linux does not currently support USB at a low level. GNU Radio can use the computer sound card to playback/record sound on Windows.
Network connected SDR
For network-connected SDR, or for running software-only simulations, here's how to install and run the GNU Radio Companion GUI on Windows Subsystem for Linux (WSL).
Install X11 and GNU Radio for Windows Subsystem for Linux
apt install gnuradio
Start X11 from Windows Start menu and then type in WSL Terminal:
WSL1 does not accept ALSA soundcard input, so disable any Audio Sinks in your GRC diagram for WSL1.
Procedure that runs a PulseAudio connector on Windows from WSL, with local port forwarding of audio packets over a local network socket from WSL to Windows.