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Unfortunately, because .msg is a Microsoft-specific file, you'll need to use Outlook or Exchange in order to create them.
I've come across this issue in the past and struggled to find an appropriate automated workaround. The only solution I am aware of is to create a .csv file with the information (subject, body, from, to, cc, bcc, attachment) for each of your emails. This can be done using the following steps:
1. Create an example of the .csv from Outlook, using File > Open & Export > Import/Export and then exporting some emails to .csv.
2. Replicate that .csv with your particular email information in Alteryx and save as a .csv file.
3. Manually import the new .csv file into a folder in Outlook using File > Open & Export > Import/Export again.
4. Drag or save the imported files into a folder as .msg files.