You’re right, PT is not developed nor tested to work on Windows. You may find success using Cygwin, or perhaps the Linux Bash Shell for Windows 10.
What most users of MySQL on Windows do is provision a compute instance running Linux and run the PT tools remotely, across the network. I realize this isn’t a full solution since some tools won’t gather 100% of the data (pt-stalk for example can run with –mysql-only but misses now OS level metrics).