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This looks like an issue similar to many other issues (such as and some others), where what's happening is Jupyter is searching for an using an external LaTeX distribution in order to do tex->PDF processing. And it is successfully finding your Windows Native MikTeX distribution.

However, since Sage for Windows runs under Cygwin, it is passing UNIX-style file paths to the Windows executables provided by MikTeX, and it does not know how to interpret them.

I will see if I can get an upstream fix to this in nbconvert, or if not there then at least a patch in Sage. In the meantime you can export to .tex and then pass it to your favorite LaTeX renderer manually.