Although this question is dated, I decided to updated on it, because it keeps popping up for me as the first suggestion for this particular problem.
As the previous answers already suggested you can compile against winelib. However, there are yet another two solutions.
The first solution would be either to use the MinGW provided for your distributions. MinGW is a 'cross-compiler', that compiles either from macOS or linux to windows and has support for DirectX. Note, that C++ libraries compiled with MinGW are not compatible with the MSVC compiler's ABI, thus cannot be consumed. However, the resulting binaries can be executed using Wine.
The second solution would be to use clang as a cross compiler. Clang usually includes the Compiler and Linker needed for Windows out of the box. However, it'll require you to include provide the headers and libraries yourself. On the other hand, libraries compiled this way are compatible with MSVC and, thus, can be consumed by it.
Side note:
Latter allows you to setup an CI server using linux (I did so on a raspberry pi), which creates compatible binaries for end users.
libwine-dev
on a more modern Ubuntu 22.04 – Pollitt