Assuming that you have installed Kali Linux through Windows App Store you may encounter the same issue not having access to the internet. 

To fix open Terminal and run the following command:

service network-manager restart

If still, no connection try this command:

nmcli networking on

Installation instructions below:
https://www.kali.org/news/kali-linux-in-the-windows-app-store/

Useful help resource:
https://docs.kali.org/category/introduction