Help me retrofit a closet in this room
Why not build your closet wall along the dotted line, but end it at the inset near the window. Build a short return wall to the edge of the inset.

Then on the short wall to the left of the window, build in a bookshelf ceiling to floor that is slightly less deep than the closet wall (inset about 2-3") and just short of the window trim.  You could also build a companion bookshelf on the right side of the window to make it look symmetrical. 

The small step back from the edge of the closet to the bookcase would likely look planned rather than makeshift. You also could have the edge of the closet rounded as it moves back to the bookshelves.  There are pre-made curved edges, called bullnoses, available for plasterboard that would make it fairly simple.