That depends on the type of data. Music, photos, and any other files that are stored in the /sdcard area, sure: connect via USB and it will mount as an MTP device. But the applications themselves, and their internal data, no: those live in a different partition which will not be visible that way. So it depends where the data are stored, but "files yes, game data probably not" would be a short answer.
However, you can use a backup app such as Helium and then restore the backup on a different device, which ought to do what you want. I don't use Windows, but I've done that on other platforms.