You can run Wine on Windows using Cygwin.
https://wiki.winehq.org/Cygwin_and_More#Wine_on_Cygwin
You'll need to install Cygwin on your Windows system. You could theoretically install it to a Wine prefix running on a unix machine (or even within another Cygwin install within ... ad infinitum), but let's stick to one heresy at a time.
- configure may fail to detect many packages even if you've installed them; there doesn't seem to be an open or closed bug-report about this though
- 16-bit components had severe compilation problems so Wine now builds with --disable-16bit by default. Getting those to compile might be a "fun" problem
**UPDATE (2023):
It seems many popular Cygwin packages are unmaintaned (nginx, httpd, etc). And it's being replaced by WSL2.
If you want to run Wine under Windows, your best approach is using WSL2. Enable "Hyper-V" from Windows features, and then install Debian/Ubuntu. And then install Wine.