That is absolutely doable, just bundle Wine and the app you want to run into the AppImage. The AppImage on http://www.wildmediaserver.com/download.php does this, for example.
In fact, depending on the complexity of your app, it may be sufficient to bundle a subset of Wine (to be determined by tools like strace or cde). I did this a couple of times but haven’t done a writeup of the steps so far.
On https://github.com/RazZziel/PortableLinuxGames/wiki/Creating-appimages-from-windows-applications there are instructions; however I did not try them. Let me know how it goes.
Someone at https://github.com/iamale/wine-appdir seems to be working on the same.