Neovim delegates clipboard access to external application. As you don't have any it cannot work. This is clearly written to you in the picture above.
Windows clip
is not supported, because it cannot read from clipboard; xclip
won't work, because it needs X-server to work (isn't it obvious from its name?) and so on.
Normally Neovim makes use of win32yank
to access Windows clipboard. So try to download it and put somewhere on WSL path.
let g:clipboard = {
\ 'name': 'win32yank-wsl',
\ 'copy': {
\ '+': '/path-file/win32yank.exe -i --crlf',
\ '*': '/path-file/win32yank.exe -i --crlf',
\ },
\ 'paste': {
\ '+': '/path-file/win32yank.exe -o --lf',
\ '*': '/path-file/win32yank.exe -o --lf',
\ },
\ 'cache_enabled': 0,
\ }