I wonder if it is possible to compile a Windows program with Gitlab on a debian platform.
So you would probably need to use mingw: c++ - How to compile for Windows on Linux with gcc/g++? - Stack Overflow
you can install that under Linux, as per the link above. How you would do that with Gitlab is a separate issue, I expect you need CI/CD (pipelines/runners) for that to work which is something that I don’t use. Maybe something in the Gitlab docs would help with that, or hopefully someone from the community will jump in to help how to do it with CI/CD.