Have you used pynsist?

[snippsat]

I am interested in can I build a Windows installer within a Linux system?

No the cross platform installer like Pyinstaller and CxFreeze.
You build for the platform it shall be used on.

PyInstaller is tested against Windows, Mac OS X, and Linux. However, it is not a cross-compiler:
to make a Windows app you run PyInstaller in Windows; to make a Linux app you run it in Linux, etc.

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cx_Freeze works on Windows, Mac and Linux, but on each platform it only makes an executable that runs on that platform.

Can mess with something like Wine,but this is not advisable.
If i had only a Linux system and wanted to make "exe" for Windows.
i would fire up VirtualBox with a Windows version and to build there.