I'm doing a lot of Clojure since years both on my MBP and on Windows and there's no problem at all doing that way. Besides VSCode even has a plugin for WSL which will let you directly hook into it.
So yeah there are some questions like which Java to install, which IDE, .. but these questions are the same for other programming languages.
If you have any hint regarding how to improve my guide don't hesitate to tell me if something is not clear in it :)