I've made an app with Codea and exported to an XCode project. Is there way to build it on IOS (or windows)?
Definitely.
Some folks over at iNinjas have successfully ported the Clang-LLVM toolchain to run on iOS. Here's a download link - install the deb on your iOS device. You will also have to copy the development sysroot (the iPhoneOSX.Y.sdk folder) from your computer to your mobile device. The device also has to be jailbroken.
(I don't remember exactly if there are any other packages to install, but perhaps odcctools from Cydia, etc, just google it.)
After that, you have to compile and link all the files. Of course, Xcode uses a proprietary format for project files, so you can't just go ahead and expect the compiler to build from the Xcode project, but you have to, for example, write a Makefile to specify that all .m files are to be compiled. Then you will have an executable file which you may or may not need to codesign.