Absolutely, there is a near perfect solution.
You run Text Expander on your Mac.
You run Breevy on your Windows VM.
Both can be purchased together when you but TextExpander by the way.
In Breevy preferences you set it to 'TextExpander compatible'.
And ideally you use Dropbox as your snippet store.
This works a dream.
I have two Macs, each with their own independent Parallels install.
All my snippets automatically sync across Breevy and TextExpander on both machines.
I can add a snippet on any of them, Windows or Mac and it syncs across all four.
Brilliant solution, always in sync, highly recommended.
Robin