Either source this on .bashrc or copy and paste it to your .bashrc of WSL you are working on, and forget appending .exe on commands like powershell and cmd

.wsl-extension.sh

trap 'BASH_CMD=$BASH_COMMAND' DEBUG

command_not_found_handle () {
        only_cmd=${BASH_CMD%% *}
        if type "$only_cmd.exe"
        then
                only_args=${BASH_CMD#* }
                cmd="$only_cmd.exe $only_args"
                $cmd
        else
                echo "-bash: $only_cmd: Command not found"
                return 127
        fi
}