In most cases direct exe to iso conversion is not doable, but several reasons exist why users think this is possible and attempt it. Sometimes ISO files are distributed as a self-extracting archive that uses exe extension. You can decompress the files and you will get your .iso. No conversion is necessary. This was especially through for old Warez releases.
Just be careful when handling executables downloaded from internet especially when their origin is not from a reliable source.Open EXE file Open ISO file