Well, I did get my hands on an exe file (some game on Steam) and opened it with Archive Manager. It does show some files, but the file properties say Type: application/x-ms-dos-executable (as opposed to application/zip). So it’s not an actual archive file, the archive manager is just displaying it as such to be helpful.
I tried to create a zip file and rename it to .exe, but Archive Manager failed to open it at all which I found strange. You’d think it would look at the actual file contents to figure out what type of archive it is, and not rely on the extension.