Packaging a Python script on Linux into a Windows executable

I have a Python script that I’d like to compile into a Windows executable. Now, py2exe works fine from Windows, but I’d like to be able to run this from Linux. I do have Windows on my development machine, but Linux is my primary dev platform and I’m getting kind of sick of rebooting into Windows just to create the .exe. Nor do I want to have to buy a second Windows license to run in a virtual machine such as VirtualBox. Any ideas?