Converting .dmg files directly to .exe format.
Converting .dmg to .exe format is usually attempted when users seek to convert Apple Disk Image files to Windows Executable Files (both are installer packages) so that they can install Apple utilities in the Windows operating system.
Such conversion is, however, not possible.
One possible option could be using a virtual machine utility, and virtualize macOS on your Windows machine, then install the program on your virtual machine.
In a word, direct dmg to exe conversion is not possible.
So don't expect any so-called dmg to exe converter or dmg to exe free online conversion tool available.
Mac version of the popular virtualization software