A program can only run on the operating system it is compiled for. It is because the program could rely on specific libraries or function calls.
Some ways to circumvent the issue are by using virtualization or emulation.
DOSBox is an emulation program for DOS in Linux. DOSBox is available in most Linux distributions, and you can install it using the distribution's default package manager from the terminal.
Related: Abandonia - All games
$ cd ~/Downloads/ ~/Downloads$ unzip Golden\ Axe.zip Archive: Golden Axe.zip inflating: _DOSGAME.TXT inflating: A inflating: AMAZON.SPR ##### snipped
$ sudo apt update && sudo apt install --assume-yes dosbox # Ubuntu and Debian
$ dosbox GOLD.EXE DOSBox version 0.74-2 Copyright 2002-2018 DOSBox Team, published under GNU GPL. --- CONFIG: Generating default configuration. Writing it to /home/user/.dosbox/dosbox-0.74-2.conf ##### snipped
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