https://bugs.winehq.org/show_bug.cgi?id=44023
--- Comment #3 from Austin English austinenglish@gmail.com --- (In reply to alexchandel from comment #2)
The same thing happens to me, on macOS, although it may be a different cause.
The only non-Wine errors Cuphead prints are:
Mono path[0] = 'C:/Program Files (x86)/Steam/steamapps/common/Cuphead/Cuphead_Data/Managed' Mono path[1] = 'C:/Program Files (x86)/Steam/steamapps/common/Cuphead/Cuphead_Data/Mono' Mono config path = 'C:/Program Files (x86)/Steam/steamapps/common/Cuphead/Cuphead_Data/Mono/etc' Player data archive not found at `C:/Program Files (x86)/Steam/steamapps/common/Cuphead/Cuphead_Data/data.unity3d`, using local filesystem
Which is strange, because Mono isn't installed.
Unity3d uses Mono: https://en.wikipedia.org/wiki/Mono_(software)#Software_developed_with_Mono