How to migrate index from Old Server to new server of elasticsearch
The error message is quite clear that your remote host(windows in your case) from which you are trying to build in a index on your new host(Linux) is not whitelisted, Please refer Elasticsearch guide on how to reindex from remote on more info.
As per same doc
Remote hosts have to be explicitly whitelisted in elasticsearch.yml using the reindex.remote.whitelist property. It can be set to a comma delimited list of allowed remote host and port combinations (e.g. otherhost:9200, another:9200, 127.0.10.:9200, localhost:).
Another useful discuss link to troubleshoot the issue.