I remember those dark days when I would check winehq before buying games because I didn’t know if they would work in Linux or not.
I realized recently that I stopped checking winehq or protondb, because I implicitly assume that everything will “just work”. Hard to say when this transition happened, but it feels at least a few years old.
Looking at latest stats, the only holdouts appear to be those games that explicitly ban Linux users with some quasi-malware anti-cheat.
https://www.gamingonlinux.com/2022/06/3500-games-now-steam-deck-verified-or-playable/
What a time we live in!
You can look up some in-depth responses, including people showing which malware works when run through Wine. It’s a pretty common question.
A relevant question and advice from the Wine FAQ: https://wiki.winehq.org/FAQ#Is_Wine_malware-compatible.3F
The bottom line is that you’ve asked a very open, broad question. ‘Windows malware’ covers all kinds of things: do you mean a group that has made a malware for Windows users, because that’s the biggest and often easiest target? Or do you mean someone repurposing a Windows malware intentionally targeting Wine users? One will of course have more chance at success than the other.