Well I've not milled thin brass in the way you describe John but I have fly-cut and 'shaped' thin brass along its edges when it's clamped between two steel plates. Brass is quite grabby and I think you are going to have to hold/secure it near to the cut (rather than at the ends of the milling table. Otherwise I think you might get a bit of tear out or edge distortion but maybe not...
However, I think if I was trying this, I would probably make a pair of 6mm thick steel plates (120mm high x 50mm + window-mm wide) with a central cut-out for the opening/tool. The bottom plate would be secured accurately & aligned to the table (via T-nuts and NOT moved) and the top plate would be removable (in order to shift the material) but could be replaced (in alignment with the steel lower plate) by pins, preferably tapered ones. The sandwich would then be clamped tightly together by top-clamping. The actual table X/Y movement would be controlled by stops such that the cutter doesn't actually touch the steel clamps (5-10 thou clearance).
You'd need to accurately mark up the brass sides so you could index them across the table but you could work on just about any length doing it this way - even on a small mill. Thinking about it, I might also use the mill to cut a shallow channel (same height/width as the sides) in the bottom clamp once it's bolted down and aligned. Then you could fit the side into the milled channel, knowing it will be kept aligned when you slide it. The top plate could be made with a matching 'lips', so it still clamps the work securely and obviously you would still need to register the top and bottom plates together outside of the channel section.
I'm assuming that the 'openings' are mostly the same size, as you will need a clamp set for each different one. Sounds a lot of work but it's probably worth it if you are going to mass produce a lot of coach windows (e.g. even for just one coach...). If any holes need drilling, then the same clamp sets could also be used as a drilling/marking out jig - either drilling directly or tapping a pin-punch through to mark the hole position.
I'm pretty sure this would work but you can easily find out/experiment by clamping a short piece of the brass you intend to use between two steel plates and milling along the edge of the sandwich so formed. Whilst at it, you might also want to try milling an unsupported edge and one with a back-plate - to enable comparisons. With a smaller piece of work, a backing plate of some kind (aluminium perhaps) might have worked but each side would then have needed a full length sacrificial base and you still have the problems associated with getting the work set-up each time you move it - so I think the fixed clamp/jig is a better approach...
Anyway, that's my thoughts on the problem - but maybe others here have done something much simpler and been successful...
Regards,
IanT