Can you package and msi from a linux machine? When I try it seems like it’s processing the DMG settings, and looking for my mac signing certificate, which isn’t there, but that’s ok as I’m not trying to build a DMG.

Nope. You can only ever build windows on windows.

The problem is not so much the compiling. The problem is that the packaging toos are not available. E.g., on Windows you need the WIX tools (https://wixtoolset.org/) which are simply not available on Mac or Linux.