You can also use Bash on Ubuntu on Windows
directly. E.g.,
bash -c "ssh -t user@computer 'cd /; sudo my-command'"
Per Martin Prikryl's comment below:
The -t enables terminal emulation. Whether you need the terminal emulation for sudo depends on configuration (and by default you do no need it, while many distributions override the default). On the contrary, many other commands need terminal emulation.