It is possible to run Wax on Windows under WSL 2. The installation procedure is as described in the README for wax-install.
There is one limitation when running Wax under WSL 2. WSL 2 does not support accessing the CD drive as a device, so ripping is not possible. However, you can use Media Player to rip, move the sound files to the transfer folder of Wax (or better: just configure Media Player to rip directly to the transfer folder), and then import them. Media Player does not embed cover art (which Wax ordinarily extracts), but you can copy-and-paste cover art from wherever you find it (e.g., Amazon) to Wax.
In general, importing works normally. If you have sound files that you downloaded, they probably have cover art embedded. If so, they will import cleanly.
If anyone knows of a way to use a CD drive normally under WSL, please let me know.