I guess this might be caused by several reasons like erroneous defines or a mistakenly selected or configured project for the build. While it´s clear that a Linux project should not include Windows headers its hard to figure out the reasons for that just from the generated errors. So it would be great if you could also provide the log of your build.
Thanks for the log. The error occurs in the BootstrapPackagedGame program which has the purpose to check for the prerequisites of UE4 and run UE4PrereqSetup_....exe if required. This is a Windows-only project and you should be good to go just not to build it for Linux or ignoring the error.
I hope this helps, although I´m wondering why it is trying to build it in your setup anyways.