You can use utilities like the MSI Wrapper, which are specially designed to create a .msi program installation packages from older .exe installation packages prepared using some older solutions. Used mainly by system administrators to prepare new packages that work with group policies.
Convert Program executable to Microsoft Windows Installer installation package.
We have found one software suitable in our database for this conversion.
Microsoft Windows software - convert exe to msi on Windows
A converter from EXE to MSI packages
Convert from exe file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.