Encrypt USB That Is Compatible With Windows
Solution 1:
Veracrypt is an open-source encryption package that will certainly do this since there are versions of the software for both Linux and Windows.
Solution 2:
https://github.com/t-d-k/LibreCrypt implements LUKS compatible encryption on Windows.
I haven't tried, but LUKS is the main Linux disk encryption method, with kernel support, so I think it might work.