Your expectation does not match the volume declaration you specified in the docker run command.
Try docker run -it -v c:\data:c:\data mcr.microsoft.com/windows/servercore:ltsc2019 instead.
Also, you might want to take a look at this blog post:
-v c:\data:c:\data
This is not working as I am getting error as path not found.
So, that’s why, I kept the current directory as c:\ drive, sorry for the typo.
As far as I’m aware, Docker for Windows requires a fully-qualified path (unless you use Docker Compose which translates relative paths for you). And you certainly cannot use Windows paths with colons in them!