This does sound very unusual that it would try to connect, so I wanted to add more context about how bluetooth works, which might help figure out where to look next or if you should look into it at all
In bluetooth there is the idea of a central device and peripheral device. Peripheral devices advertise of their existence in hopes that a central device establishes a connection. The central device always has the final say. For example, a phone (central device) connecting to bluetooth headphones (peripheral device).
Your computer should really only act as a central device. So you get to choose which devices are allowed to connect … but there are two exceptions:
a device can auto-connect to a previously paired device. Maybe you accidentally paired with the Linux device, or thought it was another device. You can unpair / forget the device if you did.
special software which auto-connects to devices. For example the nintendo switch auto-connects to controllers when the “change grip/order” menu is open. I think this would be very unusual, even for malware.
Technically, the bluetooth spec does allow bluetooth devices to be a central and peripheral at the same time. In theory if Windows is advertising itself as a peripheral, then the Linux device could connect as a central. The issue is, I don’t know if or when Windows is sending these bluetooth advertising packets. Maybe when bluetooth settings are open or if you have a wifi hotspot enabled?
Also, not all devices support running both modes at the same time, so you can rule it out if the device can’t be a peripheral. According to this guide, this is how you check that: howto-connect.com/see-if-windows-10-pc-supports-b…
If it just appeared in the connectable device list, then there is nothing to worry about really, bluetooth has some range to it, and it could just be a neighbor’s device.