How to run EXEs with Wine, without getting the confirmation screen?

I’m responding from my phone right now otherwise I would have sent screens of what I see.
It will look like the pic here: 18.04 - multiple 'open with' applications in right-click context menu with nautilus/filemanager-actions? - Ask Ubuntu

Look at: [HOW-TO] Set default applications in xfce - it’s for xfce but the instructions should apply even on gnome.

You can also consider editing ~./config/mimeapps.list , see: Override the default registered application for individual users

Sorry, unfortunately I’m familiar with the GUI methods but not the other two I listed here.