you can mitigate a whole lot with

WINEPREFIX=~/Games/TheGame winetricks sandbox

eliminates links to home et al and houses all files in the prefix. also in the dosdevices folder there are links to root, home, etc. mapped to windows drive letters which (with the exception of c:) you can safely delete; this can also be accomplished with winecfg GUI.

if you ain't got opensnitch or an alternative running, you can prevent network access with firejailas a command prefix (the one where you put mangohud and gamemode etc in).