You're using the latest beta version on Windows. It's a good idea to read the installation instructions when doing this.
The install page for 20.2.0-beta2 on Windows has a section detailing how to setup the timezone database on Windows.
Quoting:
To ensure that CockroachDB can use location-based names as time zone
identifiers, download Go's official zoneinfo.zip and set the ZONEINFO
environment variable to point to the zip file.
Make sure of two things:
- set the environment variable in the same powershell session as the one in which you are running Cockroach
- the environment variable should point to the zip file, not the extracted contents.
You can also make it permanent, see this answer for how to do so.