Sadly, GOG keeps holding out on its customer base by not providing Linux versions of some games that exist elsewhere, Worms W.M.D. being one of them. We still don't know if it's GOG's internal issue or Team 17's issue or both because GOG keeps absolutely silent and does not respond on the matter (which is also not new and is just one more annoying behavior that we've seen before with Dying Light, Age of Wonders 3 and some other games which are available for Linux on Steam and not available for Linux on GOG).
That being said, Worms W.M.D. Linux port (currently available only on Steam) is nothing to write home about, it's rather buggy and it's really hit-or-miss whether it works for you or not. I was able to make it work after some manual tweaking, but before I tweaked it, I couldn't even play it (messages were shown in black, worms were stuck hovering above the ground and not moving at all).
However, the Windows version of the game works nearly flawlessly in Wine (tested in v1.9.15), both GOG and Steam versions should work. The only issue I determined was that the intro video did not play (and those other small videos don't play either), but I don't think it's a biggie since I don't think Worms W.M.D. has any significant "plot-based" videos like many other games have. If necessary you can always watch them manually (they're in the proprietary Microsoft .wmv format, which is probably also the reason they don't play - most likely you need to install something like WMV codecs or player or something to your Wine prefix to make them play. I didn't bother.).
Hope this helps.
Post edited August 28, 2016 by Agetian