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Is there a way to run/convert windows (shortcut) .lnk files in PlayonLinux?

As far as I know, Linux won't see a .lnk as a shortcut, but a file only.
If you want to link to a folder or file, just create the shortcut with Linux and then PlayOnLinux should be able to use it.

I have installed mods for Unreal Tournament 3 and they required shortcuts to specific directories to load the game data.
PlayOnLinux read them just fine.

Now if you are talking about a link to a game exe, you should use PlayOnLinux to create it for you.