What does 'Open in Windows' prompt on iPad at shutdown mean?

Your iPad does not have a native "shut down" feature that prompts you to reopen windows like a computer does. This message usually means you are either using an external keyboard with shortcuts, connected to an external monitor via Stage Manager, or a web browser/app is asking to restore your tabs the next time you open it. 

Or are you using windows on your iPad? Then it is an option that it wants to open something in windows

Please post a screenshot - as with a better understanding of precisely what it is that you see, contributors here may be better able to offer appropriate help or guidance:

Take a screenshot on iPad - Apple Support

You can post your screenshot (redacted as necessary, using markup tools, to obscure any personal or sensitive information) using the image button located at the bottom of the message editing window: