Thanks for your feedback. I'll update what's possible and try again.
I'm also running virtualized Windows on Linux with VMware & Virtualbox testing WinUAE this way. I believe this is a more convenient solution than dealing with wine, playonlinux etc. There should still be enough performance left after all. But tests are left for later.
Early startup menu works with VMware & Virtualbox
I'll also keep on with these options as they look like an acceptable alternative related to the initial setup, keymap is also nearly fully matching so I can use Amiga special key shortcuts.
On Linux I also tried keeping both mouse buttons pressed while using the cli reboot command, but it did not work either. In fact there seems to be only one input channel for WinUAE be it whether mouse or keyboard, not both simultaneously. Having mouse buttons pressed any keyboard input is blocked.