I tried it out on a Win10 laptop. Mostly works great, but I got one problem when loading larger textures - cl-opengl is not prepared to work correctly with 64bit Windows / SBCL. I described the issue and my hotfix here: https://github.com/3b/cl-opengl/issues/72.
After applying that, I've managed to successfully deploy a Windows binary using SBCL bundled with Portacle.