From the pyinstaller FAQ:
Can I package Windows binaries while running under Linux?
No, this is not supported. Please
use Wine for this, PyInstaller runs fine in Wine. You may also want
to have a look at this thread in the mailinglist. In version 1.4 we
had build in some support for this, but it showed to work only half.
It would require some Windows system on another partition and would
only work for pure Python programs. As soon as you want a decent GUI
(gtk, qt, wx), you would need to install Windows libraries anyhow. So
it's much easier to just use Wine.
In other words, you cannot simply run a command in Linux to build a Windows executable (or a Mac executable for that matter) like you are trying to do. The workaround they have provided for Windows (and only for Windows) is to install Wine.
Wine is a program that allows windows programs to run on Linux. It creates an environment that replicates a windows environment. The idea is that you would install Python (using a Windows Python installer), as well as any other libraries that you need (such as pyinstaller), into this environment. Then, still in that environment, you run the python pyinstaller.
I haven't done all of this, but the mailing list thread mentioned in the FAQ would be a good start. Here is an example that they use:
PYDIR="c:/Python27"
PYTHON="wine $PYDIR/python.exe"
WINPWD=$(winepath -w $(pwd))
cd pyinstaller
$PYTHON Configure.py
$PYTHON Makespec.py -p $WINPWD $WINPWD/diceroller.py
$PYTHON Build.py diceroller/diceroller.spec
It looks like this uses the old "Configure.py", "Makespec.py" and "Build.py", whereas nowadays the "pyinstaller.py" script tries to do all of this for you.