There is a Linux binary housed at Hexen II: Hammer of Thyrion. It is in the Mageia repositories and can be installed using urpmi. The binary gets installed in /usr/bin and the rest of the game files and documents can be found in /user/games/hexen2.
I have not yet experienced Hexen2 since I don't have the retail version. The installer only installs the game engine, so I've purchased an original game CD from eBay.