In this case FengGUI doesn't help much
I believe it is achievable to build your own GUI library on top of Java2D. But I suggest ot start with Swing as a prototype and after your game reached a certain state of development you begin to implement your own UI components. The look and feel mechanism in Swing is pretty powerfull but still too limited for games (no way to do transparent window backgrounds for example). However, I recommend to still use the Swing functionality and simply subclass those components you want to use. By overriding the paint() method you have total control over the appearance. In-game windows need to be developed from scratch though.
Like each window is a semi-transparent image with g.drawString's on them, and with MouseListener, you could drag the window by holding the top bar and dragging, and all of the coordinates would be moved by variables being added up and down depened on how u drag while holding the mouse button, along with the drawString's by use of variables after redraw. Well ok, first off, is this a good way to do it for in-game interfaces? And would it work well enough?
Sounds good to me.