How to get a C++ program that uses XWindows to build on Bash on Ubuntu on Windows?

I'm trying to get a C++ program that uses XWindows to build on Bash on Ubuntu on Windows. I understand that Bash on Ubuntu on Windows does not officially support graphical Linux applications, but I would like the program to build regardless if possible. I have tried to reduce my issue as much as possible, hopefully I have provided enough information.

First, I installed the libx11-dev package and the packages associated with it using the command:

sudo apt-get install libx11-dev

Second, my Makefile is the following:

CXX = g++
CXXFLAGS = -Wall -MMD -lX11
EXEC = exe
OBJECTS = main.o window.o
DEPENDS = ${OBJECTS:.o=.d}

${EXEC}: ${OBJECTS}
        ${CXX} ${CXXFLAGS} ${OBJECTS} -o ${EXEC}

-include ${DEPENDS}

.PHONY: clean

clean:
        rm ${EXEC} ${OBJECTS} ${DEPENDS}

Third, the window.h file is the following:

#ifndef __WINDOW_H__
#define __WINDOW_H__

#include <X11/Xlib.h>

class Xwindow {
    Display *d;

  public:
    Xwindow();
};

#endif

Fourth the window.cc file is the following:

#include "window.h"

Xwindow::Xwindow() {
    d = XOpenDisplay(NULL);
}

Finally the main.cc file is the following:

#include "window.h"

int main() {
    Xwindow xw();

    return 0;
}

When I run my Makefile I get the following output:

g++ -Wall -MMD -lX11   -c -o main.o main.cc
g++ -Wall -MMD -lX11   -c -o window.o window.cc
g++ -Wall -MMD -lX11 main.o window.o -o exe
window.o: In function `Xwindow::Xwindow()':
window.cc:(.text+0x12): undefined reference to `XOpenDisplay'
collect2: error: ld returned 1 exit status
Makefile:8: recipe for target 'exe' failed
make: *** [exe] Error 1

Any help is appreciated.