Linux

You should be able to configure any desktop environment to open exe files with Wine or a frontend of your choice. By default Wine installs everything to ~/.wine and adds an entry to your applications.

In Debian and, probably, Ubuntu you may install the wine-binfmt package to get all *.exes running with wine automatically. However I don't recommend doing so because it is very easy to run some windows trojan with this.

I have to add, please use Bottles Flatpak (or something similar) to run .exe files in an isolated environment.

Bottles has very secure presets and a fully modern stack with Pipewire and Portals. Running .exes there is probably safe.

But starting to run random Windows apps unisolated on your system will open a huge can of worms. Especially with quacked games ;D

Is it possible to create an OS that simply automatically runs .exe files through WINE/Proton/Bottles?

Zorin already does that out-of-the-box. See: https://help.zorin.com/docs/apps-games/windows-app-support/#run-apps-in-exe-and-msi-files

And if you want to take it to the next level, there's ReactOS, which is basically an opensource reverse-engineered Windows - but sadly it's development is slow and it's hardware support is extremely lacking. But it exists, and does qualify as an answer to your question. For all practical purposes though, Zorin is what you're looking for.

Setting up WINE, in my experience, is as easy as just installing it and running EXEs and MSIs with it. I just set wine as the default handler for those file types, and things mostly just work.

There is some tweaking that is sometimes necessary, but it's easier to tackle that on a case-by-case basis. I hardly have to do anything for the handful of Windows-based tools I keep to work, and there's usually someone online who has already figured out a workaround so I don't have to.

Wubuntu? https://wubuntu.org/

Sure, when linux loads are process it follows a standard procedure to see how to run the file. If the file has ELF markers it runs the process via the ELF loader. If the file has #! as the first then it uses a different process to run that script. (I doubt a.out executable format is supported anymore, but that at least used to be an option). There is no reason you cannot hack this process to detect windows executable and then use wine to load/run the application. I'm not sure why nobody has done this, but the basic things have been supported in linux for decades.

honestly, wine has seemed unreasonably complex to me in the past and i haven't tried since. but Bottles offers a nice easy to use GUI, i do recommend giving it a shot. at least on arch linux it's super easy to install via the AUR.

the only issue is some apps need additional dependencies which can take some searching to figure out what exactly is needed. the arch wiki lists a bunch of them though, and often the error messages bottles shows will point you the right way.

i've gotten almost every .exe to work with it, most immediately, some after a short bit of tinkering.

Can you run non native binaries on Linux? Sure, Linux is the Swiss army chainsaw of the OS world. There are multiple ways to achieve that.

Is it complicated? A bit. You're interfacing a binary created for a completely different and alien environment. You'd get the same answer if you asked "why can't l just run Mac apps in Windows like any other .exe?"

The best way to run .exe files is Windows. You have wonderful tools to help you run Windows apps on Linux, but the experience will probably never be as seamless as you want.

Try Zorin OS

https://help.zorin.com/docs/apps-games/windows-app-support/

I have the opposite problem, llavafiles (a large language model, packages as a single files) can run on both Linux and Windows. They are written to be compatible with both.

But when I ./file to run it, eine is started automatically!

(The llava file GitHub has a workaround, but still by default it chooses wine for some reason)

What are you trying to achieve?

Give setting it up a try, it doesnt seem hard once you do it.

Also, linux binfmt is powerful magic. My x86-64 machine can run arm binaries like native with qemu, wine integration is also possible but in my setup i let the gui file manager launch exe files with wine.

Along with the other suggestions here, Garuda also already does this out-of-the-box.