It appears that exe to dmg conversion is typically sought by users that want to convert a Windows installer (usually.exe) to a Mac installer (often saved as.dmg or.app), so they can install Windows app on Mac. In most cases the DMG file is used to give the Mac devices the ability to install different types of files and software that originate from the internet. The DMG file extension was created by Apple and is primarily used on Macintosh computers and devices. So no you cannot convert an.exe file to any form, including.dmg that will run on your Mac.exe's are exclusively Windows software.
A.dmg (diskimage) is just a bundle of software, it is not an Application, but may contain applications as well as other software. The same thing on Macs are called Applications.
