No, not at all. By default Wine should offer your whole Linux drive on Z:, so you can choose whatever location you want.

Heroic puts the games in ~/Games/Heroic/gamename but the .wine folder in ~/Games/Heroic/prefixes/gamename. Steam does something similar.

You should also consider using a helper like Lutris, Heroic or Bottles. They create a separate .wine folder for every game. That way it is easier to manage multiple conflicting libraries and Wine versions. If your home is on BTRFS or other deduplicating filesystem the additional space needed for multiple .wine folders is almost zero.

If you don't want to use a helper program you can still utilise multiple non-standard .wine locations with the WINEPREFIX environment variable.