Indeed, aside from a party trick, why build an executable trampoline at runtime when you can store and retrieve the context, or a pointer to the context, with SetWindowLong() / GetWindowLong() [1]?
Slightly related: in my view Win32 windows are a faithful implementation of the Actor Model. The window proc of a window is mutable, it represents the current behavior, and can be changed in response to any received message. While I haven't personally seen this used in Win32 programs it is a powerful feature as it allows for implementing interaction state machines in a very natural way (the same way that Miro Samek promotes in his book.)
[1] https://learn.microsoft.com/en-us/windows/win32/api/winuser/...