Docker is not a VM, it's a way to run applications on a shared kernel that isolate those applications from each other. Windows binaries don't run on a Linux kernel, and vice versa (ignoring the Linux runtime for Windows for the time being). So if you build a container with your Windows application, it will only run if you did so on Dockers Windows runtime and windows base image. It's won't run on a Linux host.
What docker does provide is an embedded VM running Linux (originally this was VirtualBox, but current versions are HyperV). By running Docker for Windows, by default, this VM was used and you would only be running Linux containers, so your windows application would not even run inside the container. To run the Windows binaries, you need to toggle Docker for Windows to use the Windows runtime, and presently that's a toggle, you can't run both Linux and Windows runtimes concurrently on the same host.
There also is no Windows VM packaged with Docker's Linux install. You would need to install your own copy of Windows (and get the licensing which is why Docker doesn't ship this) inside a VM on a Linux host and run your containers inside that VM if you need Windows support.