Huh? You just have to be careful not to use the linux filesystem from windows. It's hidden under %localappdata%\lxss anywax.
Editing test.py in your Desktop and then running it with python /mnt/c/Users/Neves/Desktop/test.py should work fine. I honestly do not understand your problem here. If you need to access a file from windows and linux, it must be in the windows fs. That's it.
I dreamed to edit a movie in a video editor, pass a filter using ffmpeg, but can't even edit a file in notepad and run it in Python.
VMs or remote access are still the best solution for development. Even cygwin and using setup.exe to edit files are better.