https://bugs.winehq.org/show_bug.cgi?id=55256
--- Comment #11 from Otto b1779506@trbvn.com --- (In reply to jkfloris from comment #10)
Did "sudo rm /etc/apt/sources.list.d/winehq-lunar.sources" return the error message "rm: cannot remove 'winehq-lunar.sources': No such file or directory"?
The "N" option makes sure that the file is not downloaded twice and fills the whole sources.list.d directory with .sources(n) files. So the output you got the first time is expected if the file already exists.
Unfortunately, I'm not sure why it didn't work initially.
No error when removing it, since did it as root and apt was not running.
What can be done is to add the rm to the wiki just in case make sure it's always non-existent.