Boot GRUB to entry not booted to last time?

The procedure created thanks to this, this and that; untested:

1. Boot Ubuntu.
2. Modify /etc/default/grub and set GRUB_DEFAULT=saved there.
3. In the same file set GRUB_TIMEOUT to a non-negative integer. You may even want GRUB_TIMEOUT=0 (meaning "boot immediately without displaying the menu").
4. Use grub-set-default to set your default entry as Ubuntu.

5. Update your GRUB config (update-grub).

6. Use grub-reboot to point GRUB to Windows on the next boot only. The code from this answer may be your starting point:

   grub-reboot "$(grep -i 'windows' /boot/grub/grub.cfg|cut -d"'" -f2)"
   

   Verify if it works, just reboot. After you get it right, go back to Ubuntu and make the grub-reboot command run automatically whenever Ubuntu starts (e.g. put it in /etc/rc.local).

Now your machine will boot Ubuntu by default. When it boots, GRUB is told to start Windows once on the next boot. So your second boot will run Windows. The third boot should behave exactly as the first one -- and so on.