Run Macbook inside of Windows application
You won't get closed clamshell mode unless you connect a display and power, but that's how I run many portable Mac so they do work well in that mode even if it's not what you look for specifically.

The Mac supports two log in users - so if you have one user logged in locally - you could VNC in with a second account and it will ask if you want to share the screen or have your own session.

One nice trick if you don't want to connect an actual display in closed clamshell mode, you can connect an adapter like this:


https://www.amazon.com/CompuLab-fit-Headless-Display-Emulator/dp/B00FLZXGJ6


Should be pretty straightforward for you to do either of these - it just takes connected items and/or two accounts.