I'm looking for linux distro capable of natively running windows apps with .net, DirectX and all other stuff. Does such windows replacement even exist ?
No, there's no Linux that can natively run [any] Windows apps with .net, DirectX and all other stuff.
There are a couple options that might come close:
Run any Linux, and:
WSL provides a Linux-compatible kernel interface developed by Microsoft (containing no Linux kernel code), which can then run a GNU user space on top of it, such as that of Ubuntu, openSUSE, SUSE Linux Enterprise Server, Debian and Kali Linux. Such a user space might contain a Bash shell and command language, with native GNU/Linux command-line tools (sed, awk, etc.), programming language interpreters (Ruby, Python, etc.), and even graphical applications (using a X11 server at the host side).
This subsystem is not capable of running all Linux software, such as 32-bit binaries, or those that require specific Linux kernel services not implemented in WSL. Since there is no "real" Linux kernel in WSL, kernel modules, such as device drivers, can't be run.
It is possible to run some graphical (GUI) applications (such as Mozilla Firefox) by installing an X11 server within the Windows (host) environment (such as VcXsrv or Xming), although not without caveats, such as the lack of audio support or hardware acceleration (resulting in poor graphics performance). Support for OpenCL and CUDA is also not being implemented currently, although planned for future releases.
That said, Microsoft explicitly states that WSL is oriented to the development of applications, and not for desktop environment or production servers, recommending the use of virtual machines (Hyper-V or Kubernetes) and Azure for those purposes.