This was going to be a question, until I found the answer on a hunch.
The file .wget-hsts is created by (indirectly, but definitely for in this instance) winetricks as it searches GitHub for a newer version of itself. Which is unnecessary when installed from a package rather than a standalone script, but that’s immaterial.
I’m wondering if there are any other applications that might create this file too. I seem to remember seeing it long before using wine.