Semi-related: Windows EXE files are runnable in DOS (at least when DOS was a thing, so for Windows 3.1x or 9x), but most of the time the DOS part just prints "This program requires Microsoft Windows." and exits. An exception is regedit.exe, that one can use to import registry values even in DOS. (Huh, although, how does it do that without using Windows API?)
This might have changed at some point. I was curious about the latter part of your question on how it made changes without the Windows API (I assumed it used an older DOS API), but my `regedit.exe` _does_ have the `This program cannot be run in DOS mode.` DOS stub in it.