Ubuntu and the other Linux distributions available on Windows 10 use the Bash shell by default, but that’s not your only option. Windows has a compatibility layer for running Linux software on Windows, and you can use it to run Zsh or whatever shell you prefer.
The Zsh shell now works on Windows 10. You can have Bash automatically execute Zsh whenever you launch it. Oh My Zsh also works for customizing your Zsh shell in Windows, just as it does in Linux.