First of all - it works on NTFS.
Note that:
Case sensitivity was added in Windows 10’s April 2018 Update.
so if you don't have that famous update, then all you can do is described in next sentence:
Prior to this, it was possible to mount Windows folders as case sensitive within the Bash on Windows environment, also known as the Windows Subsystem for Linux.
If you have git, with git-bash - run bash, and create directory from there, since:
Linux Tools Create Case Sensitive Folders by Default
Other then that. There is Minimalist GNU for Windows - you get own bash, and everything is case sensitive. That can be good option - depends on your needs.