You’d run FEX with WINE/Proton, no windows needed. If you did use a VM, I’d think it would be a Linux VM. But, Linux VM on macOS could already use Apple’s Rosetta2 for x86_64-to-arm64 translation.

Speaking of which, maybe you could just run the games with Apple’s WINE “game porting toolkit” direct with Rosetta2. Worth a Google.

EDIT: indeed, you can already play x86 windows games on Mac using software written by Apple: https://gist.github.com/Frityet/448a945690bd7c8cff5fef49daae...