This is not fully tested because I donโt remember exactly what I did, but currently I have an openAI gym that works with all atari games that are displayed and displayed, as well as matplotlib graphics, when using ubuntu on windows (WSL) . Actually I have sublimetext3 and the spider works too.
So take them as a guide, but I donโt have a โcleanโ environment to test them.
First, on Windows, google "xming" (x11 server) and download from sourceforge / install / run. It does its best.
Now in WSL bash, set the display material to work with xming
sudo apt-get install x11-apps export DISPLAY=localhost:0.0 nano ~/.bashrc
Now in WSL bash install Anaconda. this will involve loading the .sh file (for example, with curl -O "[http link to latest anaconda]" and running it with bash [the file].sh . Do not use sudo when installing Anaconda.
After installing anaconda, close WSL and restart it. Now create an environment and activate it
conda create -n gym python=3.5 anaconda source activate gym
Now go to the gym repository
git clone https://github.com/openai/gym.git cd gym
Now install these dependencies in the gym mentioned in the openai gym regatta
apt-get install -y python-numpy python-dev cmake zlib1g-dev libjpeg-dev xvfb libav-tools xorg-dev python-opengl libboost-all-dev libsdl2-dev swig
Now install libgcc using conda
conda install libgcc
Now create a gym
pip install -e '.[all]'
This is basically it. make sure that Xming is running on windows and in a gnome calculator like WSL, and that it should raise the calculator. if not, continue to work on the display side. If so, try running some of the agents in the sample training folder.
I might have missed a couple of additional dependencies along the way, but these were the things I figured out based on the error messages.
Here's a pic to motivate you: 
EDIT: Today I ran the following command that installed Qt5 as the back, and matplotlib works fine with Qt5Agg as the back (vs TkAgg). This can be useful if you are using something else in WSL that requires Qt5.
sudo apt-get update && sudo apt-get install qtbase5-dev
Alternatively, to find your matplotlibrc and command line type: python import matplotlib print(matplotlib.matplotlib_fname()) quit()
Please note that on ubuntu for windows there is NO GPU SUPPORT . This is the best requested feature in uservoice, but MS has it on the "backlog". If you are interested, vote here