Windows was designed around UCS-2, while it can be upwards compatible with storing UTF-16 data, the Windows APIs don't stop you from inserting almost any sequence of 16-bit words as file names, including unpaired surrogates (because Windows doesn't actually care about the contents of the 16-bit words).
It just happens that most Windows programs will treat it as UTF-16 and it'll mostly be fine. Until you run into the edge case where you do have file names that aren't UTF-16.
This is basically a result of Windows's file API being fixed in 1993, a good few years before Unicode decided that 16 bits wasn't enough for everyone, and hence a good few years before UTF-16 existed.
It just happens that most Windows programs will treat it as UTF-16 and it'll mostly be fine. Until you run into the edge case where you do have file names that aren't UTF-16.
This is basically a result of Windows's file API being fixed in 1993, a good few years before Unicode decided that 16 bits wasn't enough for everyone, and hence a good few years before UTF-16 existed.