Tell me more about what you mean by "can't be built by conda on windows." It may be a lot harder than you would like, and it may require using the MSYS2 tool stack, but if someone built it for Windows and it's on PyPI, then it is possible to build it for conda.
The general issue with using pip to install things for conda packages is that you want only the files related to your package, not any dependencies. When you see pip used in conda recipes, you'll also see --no-deps as an argument.
The other concern is binary compatibility. For a very long time, PyPI would not accept linux wheels, because there was no standard for what their binary compatibility should be. There is now the manylinux1 standard, but unfortunately it is not enforced adequately by PyPI. Tensorflow illustrates this point well. Although that team labels their wheels as "manylinux1," they are built on a much newer platform, and are not actually usable on the platforms specified by the manylinux1 standard. Windows is (strangely) less troublesome in this regard, and repackaging Windows wheels is much less troublesome (though still generally frowned on).