You may joke but this is exactly what they are doing:
"Hum, well it's like cygwin perhaps?" Nope! Cygwin includes open source utilities are recompiled from source to run natively in Windows. Here, we're talking about bit-for-bit, checksum-for-checksum Ubuntu ELF binaries running directly in Windows.
"So maybe something like a Linux emulator?" Now you're getting warmer! A team of sharp developers at Microsoft has been hard at work adapting some Microsoft research technology to basically perform real time translation of Linux syscalls into Windows OS syscalls. Linux geeks can think of it sort of the inverse of "wine" -- Ubuntu binaries running natively in Windows. Microsoft calls it their "Windows Subsystem for Linux". (No, it's not open source at this time.)