The Kali Linux Team is harnessing the power of the Windows Subsystem for Linux 2 by spawning a graphic desktop environment that is shown directly within Windows. WSL2 allows the launching of Windows executables directly from within an installed WSL Linux distribution. Using this feature, Kali Linux created a package called ‘Win-Kex’ that spawns a Windows VNC client connected to an Xfce graphical desktop environment running within WSL. It then starts the TigerVNC Windows client and automatically passes the commands to connect to the VNC server.
Source: https://www.bleepingcomputer.com/news/security/kali-linux-gets-a-gui-desktop-in-windows-subsystem-for-linux/