dd – Can’t make a live USB using Linux subsystem

I’m trying to install Linux-lite
Tried Rufus but uefi option didn’t show up in boot sequence.
So I thought I would use the dd command using Linux bash on Windows.

Obviously lsblk doesn’t work
So I got the physical-name from PowerShell

Get-CimInstance  Win32_DiskDrive | Select Caption,DeviceID,InterfaceType,Size | Where-Object {$_.InterfaceType -eq "USB"}


Caption                         DeviceID           InterfaceType        Size
-------                         --------           -------------        ----
SanDisk Cruzer Blade USB Device \.PHYSICALDRIVE2 USB           15373048320

Which I tried in Linux terminal

sudo mkfs.vfat -I \.PHYSICALDRIVE2

But I got this error

mkfs.fat 4.1 (2017-01-24)
mkfs.vfat: unable to open .PHYSICALDRIVE2: No such file or directory

I’m stuck here and I don’t know how to move forward with installation.