I dig into the code and found more useful information.
Include Directories
First the command I used to generate the compile database is
UnrealBuildTool.exe -mode=GenerateClangDatabase -project="YourProject.uproject" -game -engine ProjectName Development Win64
Then I checked some of the error messages clangd prompted. First, it said it can not find the include file sal.h. After some simple research I found that this file is a Windows exclusive file and does not exist in WSL. This is reasonable since the command specified that the target platform is Win64. I came up two methods to solve this problem.
Switch to Another Platform
First, I could change the UBT command to specify other platform such as Clang or Linux. Here is the output:
PS D:\workplace\UnrealEngine\Engine\Binaries\DotNET> .\UnrealBuildTool.exe -mode=GenerateClangDatabase -project="D:\workplace\LearnUnreal\LearnUnreal.uproject" -game -engine LearnUnreal Development Clang
ERROR: No platforms specified for target
PS D:\workplace\UnrealEngine\Engine\Binaries\DotNET> .\UnrealBuildTool.exe -mode=GenerateClangDatabase -project="D:\workplace\LearnUnreal\LearnUnreal.uproject" -game -engine LearnUnreal Development Linux
ERROR: Platform Linux is not a valid platform to build. Check that the SDK is installed properly.
I am not familiar with UBT and am still reading these documents, so for now I do not know how to proceed in this way.
Add Include Directories
The other method is to either configure UBT to include the Windows specific include directories in the output compile database or we add them to the compile database manually. Again, I do not know how to configure UBT to include those additional include directories. Although I could add them manually myself, it looks much like a hack not a formal solution.
Macro Substitution
Then I found that Cland has difficulties in expanding Unreal Engine macros. For example, UCLASS is expanded to
BODY_MACRO_COMBINE(CURRENT_FILE_ID,_,__LINE__,_PROLOG)
The macro is defined as
#if UE_BUILD_DOCS || defined(__INTELLISENSE__ )
#define UCLASS(...)
#else
#define UCLASS(...) BODY_MACRO_COMBINE(CURRENT_FILE_ID,_,__LINE__,_PROLOG)
#endif
Microsoft Visual Studio could expand this macro correctly because the flag __INTELLISENSE__ is defined. However, this is not true for the compile database generated for Clang. Again, we could manually add the definition to the command database, but I prefer more general solution.
Another macro is GENERATED_BODY, it is defined as:
#define GENERATED_BODY(...) BODY_MACRO_COMBINE(CURRENT_FILE_ID,_,__LINE__,_GENERATED_BODY);
Clangd complains this with C++ requires a type specifier for all declarations. I do not know how MSVS deals with this, but it is obvious these macros are preventing Clangd from compiling the code. Thus it can not correctly find definitions for all the symbols.
I hope there will be some one who can help with this.