Actualy you might want to try this:
docker context create my-context --description "some description" --docker "host=tcp:/my.remote.docker:2376,ca=C:\Users<user>.docker\RootCA.pem,cert=C:\Users<user>.docker\cert.pem,key=C:\Users<user>.docker\key.pem"
The help text of docker context create --help shows it as a linux example.
Though, I personaly opt for the same approach @rimelek does, in combination with serving the ssh private keys using pagent (more precisely the keeagent plugin of keepass that implements the pagent protocoll)