Everything on a plane is constructed and designed for a reason.
See also: Why don't plane seats align with windows?
See also: Is this the future of economy class plane seats?
That includes the windows. This video on real engineering explains that a plane needs to be cylindrical in shape because it will help create an increasing difference in pressure between the inside are and the outside air.
If the windows weren't oblong and cylindrical pressure, would build up and potentially blow a hole in the fuselage which would send us wee wee wee right to heaven.