How would I convert a Windows .exe to a macOS executable/app?
Solution 1:
Windows .exe
's are very specific to Windows. They call functions that are specific to Windows and often have no direct macOS equivalent.
To run a Windows .exe in macOS without a VM, you would need Wine. Wine tries to provide an environment where Windows apps can run under Linux or macOS, including tons of libraries implementing Windows APIs which do not exist on Linux or macOS.
There's a software package for macOS called Wineskin that lets you take an arbitrary Windows .exe and wrap it in a Wine environment that you can copy to other Macs, and I don't think the other Macs have to have Wine installed; I think the Wineskin wrapper contains all the necessary Wine files. But Wineskin only runs on macOS and I don't know of anything like it for Windows or Linux that could wrap a Windows .exe in Wine targeting macOS.
By the way, macOS executables either have no filename extension, or they are specially-formatted directory trees with the ".app" extension (a.k.a. "app bundles", "app packages"). macOS .dmg
files are disk images, kind of like a .iso
on Windows or Linux. I don't think you want to turn your Windows executable into a macOS disk image.