unintuitive to learn how to do things the first time, but

Download the windows version of a given application, and then use https://constexpr.org/innoextract/ (check your package manager) to extract the game files from the executable, and there will be your WADs

then for any third party engine, following the instructions provided to find where to put those WADs

- - -

Alternatively, if that still doesn't work:

https://flathub.org/apps/search/doom flathub has a bunch of engine options, including those based on free WADs

And flatpak is fairly easy to add to a system https://flatpak.org/setup/Ubuntu/