Depending on how the game is written you might get away with recompiling your game engine using winegcc/wineg++ ('winelib') instead of plain gcc/g++. The game obviously depend on Wine but you can mix Linux and win32 code that way, so the engine can still use Linux libraries like SDL, X11 or whatever you need. This would only work if the closed source dlls are 'well behaving' else you would also need the win32 gui and the other real win32 parts.
