Portable Executable Format
Is in fact completely portable: the limitation is the loaders, not the PE format.
The author has only seen executables in which the 'DOS' program is only "This program requires Windows" (The 'Hello World' program of PE), but that was a choice that individual developers made: to provide an executable linked to MS Windows, and only one other executable, and that a stub.
Programs developed to replace existing DOS programs could and did sometimes include both programs. The Win98SE installer is an example. But more commonly limitations of Windows disk space, and DOS floppy disk space made that a stupid idea.
The container format can contain multiple binaries (and multiple resources). It's not just limited to two. The requirement is that the OS doing the Load-and-GO operation has to recognize it's own executables in the PE file.
I think that many/most/ linux systems don't have any default support for the PE format outside of it's mandated use to contain EFI (boot) information. However, they do have support for script files, and as I understand it, the APE format leverages that by embedding a binary structure that can alternately be interpreted as a script loader or as an executable container. Someone who is more familiar with shell scripts may comment.