How better? Assuming no other consideration and equal use requirement, you get better performance and commonly superior desktop integration doing it with WSL.
WSL is usually faster and more efficient than CrossOver:
•CrossOver has more overhead, especially for graphics‑heavy or Windows‑specific apps. It thunks API calls. WSL runs a Linux kernel.
•The gap is small for simple apps, but large for GUI‑intensive or 3D workloads.
Feature| WSL on Windows| CrossOver on Linux:
App menu integration| Automatic, system-level| Best-effort, desktop-dependent
Icon & launcher creation| Always| Usually, but not guaranteed
OS vendor support| Native (Microsoft)| Third-party (CodeWeavers)
Desktop consistency| Uniform| Varies by distro & DE
“Feels native”| Very| Mostly, but not fully
If you really mean that you prefer Linux that's not best for everyone. Many of us need a fully functional version of Office in a corporate environment, to be able play all the latest games with native performance, etc. etc.