Dear Ruben,
I am afraid that I am unaware of that Windows possibility and have never seen something like that in Windows. On the other hand, I have to confess that I have no information of such Linux feature as well.
Surely, one can assign several character codes to the same keyboard key and invoke them by pressing 1, 2, 3, 5 level modifiers together with this key. No cycling through all the possible characters by pressing an extra special key though.
A good introduction to the Linux keyboard can be found here
https://help.ubuntu.com/community/ComposeKey
and here
Hopefully, this will help clarify your questions.