Do consider how the slide is framed internally prior to doing anything permanent in terms of adding windows. I would tend to guess that there isn't any framework in the way, but that's only a guess. (If there is, probably with enough work and reinforcement it could still be made to work satisfactorily, but it wouldn't be as simple as just cutting a hole and plopping a window in.)
Other than that and potential clearance problems when sliding in and out, I can't think of any particular reason why a window couldn't be added.