Here ya go:
https://docs.microsoft.com/en-us/windows/wsl/install-win10
Just install as per Microsoft's instructions then generate the CA's under Ubuntu using OpenSSL per the OpenVPN's instructions. As you can see by the above Microsoft has Ubuntu running seamlessly on the desktop.
Wow, Microsoft and Linux, together! Hope nobody's head explodes!
Haven't you heard, they aren't fighting anymore:
https://cloudblogs.microsoft.com/windowsserver/2015/05/06/microsoft-loves-linux/
Oh wait, you want to use WINDOWS CA? Well sorry, that's what you get when you try to reanimate zombie threads... ;-) Guess I COULD have posted the instructions to install OpenSSL under Windows instead... :-)
Seriously, why would you want to use a screwdriver to hammer in nails??? Best tool for the job even Microsoft admits to that now.