Can I make a windows CLI exe file on Ubuntu perl?

In the way that you want? No.

Of course, you could write out bytes that represent a windows executable, from almost any version of perl running on almost any operating system.

But wrapping a perl script, its requirements, and a perl interpreter into a Windows executable will most likely work only on Windows (simply because you neither have a windows based Perl interpreter on Ubuntu, nor you have the required compiler to compile XS modules for Windows). And even there, it's a bad idea. Better bundle perl (e.g. Strawberry) and your script and install that using an installer package like InnoSetup.

Alexander