The Neo4j manual shows that windows is supported, but the minimum filesystem is Ext4, what are the compromises for NTFS.
Neo4J is written on java and uses JDK abstraction of file system. So developers can recommend you some operation system, but theoretically it will work on FAT or even on proprietary OS of your cooler (if it is run with Java control).
Just provide your own measurement of performance at possible target OS and select best one.