The Windows Subsystem for Linux version 2 uses a custom Linux kernel from Microsoft that contains all of its drivers compiled in. While it has support for modules, it doesn't contain any, as you can see from the configuration file. Therefore, there's no reason to ship a
In addition, most of the Linux distros available for WSL don't ship their WSL versions with a kernel at all. Since Microsoft ships their own, there's no reason to. Those Linux distros don't ship build packages for Microsoft's kernel because they aren't responsible for it; Microsoft is, and you'd need to talk to them about the packages.
It may be the case that you can load the modules into the kernel if you use the standard tools, but you'll likely need to build against an appropriate source tree. You can either try to find the appropriate version in the GitHub repository I linked to above, or you may need to contact Microsoft and ask for the source under the GPLv2, which they are required to provide you upon request.
I will note that WSL is not designed to allow loading custom kernel modules; it's not designed to be a full Linux environment, but rather to allow folks to develop and run standard Linux applications on Windows. If you want to do Linux kernel development, you'll probably need a full Linux installation.