Here's a list of direct download links to the latest macOS installers. They are all links to Apple's servers, either direct links to the App Store, or, in case of older versions, links to Apple's CDN.
Direct links to App Store:
Older versions are only available as DMG files from Apple's CDN:
On Windows Server Core installations, you don't have Disk Management available. But you can quickly initialize and partition a new disk via diskpart. Here's a quick reference to the necessary commands in order.
The equivalent of creating a disk image from a folder like in macOS can be achieved in linux as well. You'll need the genisoimage package, which will install the mkisofs command. After that, you can easily create ISO files from a folder's contents. The additional flags, such as -J make the ISO Windows-compatibel.
mkisofs -J -l -R -V "Label CD" -iso-level 4 -o output.iso input_directory