#1 Although it is legal for a house to have a room with no windows, that room cannot be used as a bedroom.
This is the law in the USA, UK , Canada and Australia. It does not matter if that house was built 300 years ago when there were no laws about such things. It IS the law now.
I will go farther and guess that you are moving in with a bunch of people and they have given you that large closet and told you it is your room.
You can go ahead and move into that room if you want to but if anything happens in the house...like a fire or toxic chemicals or even a roommate that does too many bad drugs and freaks out...you will be trapped in that room. There will be no window to call for help from...the fireman or the police will not be able to come to your window and get you out.
#2 If the landlord (and by landlord I mean the owner of the place...not the person who has the lease and is letting you move into a closet) finds out you are in the closet, they can lose their lease because you are in a room with no windows.
If the housing inspectors come by for any reason and you are living in the closet, they will have the city evict all of you.
Finally....once I was poor enough to live in a closet. I lasted about 3 months and it drove me crazy...I still have nightmares.