Using WSL2
You simply have to activate and use WSL2, I have to install Ubuntu 20.04 as the 18.04 wasn’t connecting with Docker desktop. In the windows shell:
To check the WSL mode, run
wsl -l -v
To upgrade your existing Linux distro to v2, run:
wsl --set-version (distro name) 2
WSL Integration will be enabled on your default WSL distribution. To change your default WSL distro, run
wsl --set-default <distro name>
Then in docker you have to.
…use the WSL2 engine

…access from your default WSL2

Based on this article.
A Linux Dev Environment on Windows with WSL 2, Docker Desktop
And the docker docs.
Docker Desktop WSL 2 backend
Below is valid only for WSL1
It seems that docker cannot run inside WSL. What they propose is to connect the WSL to your docker desktop running in windows: Setting Up Docker for Windows and WSL
In the docker forums they also refer to that solution: Cannot connect to the docker daemon