If the room is just used for storage then it doesn't require any windows but if the room is used for living or sleeping then yes it requires windows legally for ventilation, light and especially emergency escape.
So if you're living in a room that has no windows and you're renting that room then it would be illegal for the landlord to not provide you windows in the room.
Any room that is made for occupancy by humans whether sleeping or just living requires windows to be legal.
If you're converting a room without windows to a living space or bedroom you must add windows to the room by code.