  Dense wind of a massive star can be partially captured by a neutron star (NS)
inside a compact binary system. Depending on the parameters of NS and the wind,
the matter can penetrate the inner NS magnetosphere. At some distance from the
NS a very turbulent and magnetized transition region is formed due to the
balance between the magnetic pressure and the pressure inserted by accreting
matter. This region provides good conditions for acceleration of particles to
relativistic energies. The matter at the transition region can farther accrete
onto the NS surface (the accretor phase) or is expelled from the NS vicinity
(the propeller phase). We consider the consequences of acceleration of
electrons at the transition region concentrating on the situation in which at
least part of the matter falls onto the NS surface. This matter creates a hot
spot on the NS surface which emits thermal radiation. Relativistic electrons
lose energy on the synchrotron process and the inverse Compton (IC) scattering
of this thermal radiation. We calculate the synchrotron spectra (from X-rays to
soft $\gamma$-rays) and IC spectra (above a few tens MeV) expected in such a
scenario. It is argued that a population of recently discovered massive
binaries by the INTEGRAL observatory, which contain neutron stars hidden inside
dense stellar winds of massive stars, can be detectable by the recently
launched {\it Fermi} LAT telescope at GeV energy range. As an example, we
predict the expected $\gamma$-ray flux from recently discovered source IGR
J19140+0951.
