Ubuntu on Windows 10 - Git complaining "Permissions are too open" for my private key

It seems you can't set permissions for files under /mnt/c, which makes sense seeming as NTFS doesn't seem to understand UNIX permissions set by the Ubuntu subsystem. Moving the file to root of the FS seems to work, mv <keyname>.pem / followed by chmod 600 /<keyname>.pem worked for me.