Your operating system doesn't matter as much, go with what you think is more usable for you.
A paranoid would say that it matters if the OS is open-source, which is true only for the latter. So, if you're feeling extremely nervous of which option is better, then I'd recommend you Tails. It sounds more honest to allow everyone look into the code.
Tails Linux OS is obviously better for privacy than windows and you won't have nightmare tracking and spying like with win os.
How could they spy on you if it's air gapped? You're supposed to never connect the internet.