Of course I default to boot into Linux.
But the problem is, with a Bluetooth keyboard, it is simply not possible to navigate through Grub menu if I want to boot into Windows.
There is a workaround that requires booting into Linux first! That is good enough for me because I spend most of the time in Linux and the boot process is lightening fast anyway.
First, open /etc/default/grub and add/change GRUB_DEFAULT=saved, and then create a script (e.g. win) with content:
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#!/usr/bin/env bash
set -euo pipefail
sudo grub-reboot 2 # make sure this is the right index of Grub menu entry poiting to Windows
sudo reboot
Run win to boot into Windows.