Their store page says it runs some sort of Linux OS.
Is it possible to open a terminal and a file manager?
Could you install Wine through the terminal (something like sudo apt install wine or sudo pacman -S wine) and then run the .exe with Wine?
The latter could be done with the terminal (cd path/to/windows/game/files/; wine 'The Game.exe'), but if there's a file manager you could probably select the .exe and run it with Wine.
Sorry to give such broad instructions, I'm not sure what the Anbernic runs, exactly.