I don't even know if Windows has "icon themes" per se, but I've used the third party application "Icon Packager" and "Icon Developer" in the past to make and package icon sets for Windows use.
The icon themes that I find being used in the linux community are WAAAY better though so I'm curious if I can port some of those icons over to a windows format for my own use? Is that possible?
I have explored this extensively and checked on windows forums and there is no way to do a direct port of this as of right now. It has to be done by hand. Perhaps a developer could write a shell script or program that could automatically make these conversions (which probably wouldn't be too hard on the Linux side of things because of the standardized format of icon themes).
Currently I'm doing this by hand with a Windows app called Icon Packager by Stardock. How to handle windows part I am unsure as I am not a windows developer. I think it could probably be done for a lot of applications using shell scripts and regedit though... hmmmm perhaps.
This link might also be useful if anyone else decides to take up this project. I'm considering doing it myself but I have a few other priorities to finish up first. https://docs.microsoft.com/en-us/windows/desktop/shell/how-to-assign-a-custom-icon-to-a-file-type