Each user has the ability to create his or her own set of private and public keys. It doesn't matter whether the user's client machine is running Linux, macOS, Cygwin on Windows, or Bash Shell for Windows. In all cases, the procedure is exactly the same.
There are several different types of keys that you can create, and 2,048-bit RSA keys are normally the default. Until very recently, 2,048-bit RSA keys were considered strong enough for the foreseeable future. But now, the most recent guidance from the US National Institute of Standards and Technology (NIST) says to use either an RSA key of at least 3,072 bits or an Elliptic Curve Digital Signature Algorithm (ECDSA) key of at least 384 bits. (You'll sometimes ...