I have users who connect via RDP into a GCP Linux VM (GUI enabled) from their Windows local computers. They require to be able to right-click copy files from Windows and then right click and paste said files to their Linux VM, everything using GUI.
We have a working VM which allows just that, but the person who managed to configured didn't leave documentation whatsoever. We simply know that it works and it doesn't require third party software on the Windows side of the process, so our guess is that the third party software was installed on the Linux VM.
As suggested here this feature is not GCP native, so everything points to the use of third party tools on the Linux VM.