You can replace the xdg-open command (or whichever command is used on your linux system) with your own. Just program it to fire over the url to a waiting socket on your windows box, and have it automatically open there. The details are pretty easy to work out, and the result will be seamless.
I usually do this with a port forward (ip or Unix socket) over SSH. This way my server just sends data to ~/.tunnel/socket, and my SSH connection handles getting it to my client.
(It’s a bit more complicated with starting a listening server in my laptop, making sure the port forwarded file doesn’t exist, etc, but this is the basic idea.)
