No, you don't have any control over that, and in fact interrupts are assigned by BIOS before Linux even starts.
The PCI standard requires that devices be able to share interrupts. If you have two devices that are not working together in Windows, it is a Windows driver issue and should be taken up either with Microsoft or with the 3rd party PCI card vendor (depending).
In Linux you will generally find that drivers cooperate with interrupt sharing, and should you run across one that doesn't cooperate, at least you'll have the source code.
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