I've actually tried to run HeidiSQL through Wine on Windows and I succeeded.
The tricky part was the X11 server. X.org doesn't seem to work on the Linux subsystem, but there are a few X11 servers for Windows. If you install one of them, you can run Linux GUI programs.
Xorg works in WSL, it just doesn't have any backing graphics driver to actually render anything. But if you install XRDP, you can connect to your Linux desktop using the usual Windows remote desktop client.
But yes, there are better options. You can run Xming or other X server and configure it yourself. Or you can buy X410 in the app store, and then the only configuration needed is DISPLAY=:0 in your shell.
The tricky part was the X11 server. X.org doesn't seem to work on the Linux subsystem, but there are a few X11 servers for Windows. If you install one of them, you can run Linux GUI programs.