What do you mean by linux performance?
Linux is a kernel... and its performance is probably slightly affected by the system on which it is installed, because that is where it will be read when you will boot into linux. Once booted, your kernel is in memory and so no problemo!
If by linux you meant the whole "unix-like" operating system environment in which we work, and how the speed or reading/writing on FAT32 will be on this linux system, let me tell you it will not be worse (if not better) than that in Windows.
Actually, FAT32 is THE old filesystem, and every operating system supports it. But it was not good enough so Microsoft developed NTFS, and others developed ext2, ext3, reiserfs, xfs, jfs and so on...
FAT32 is the least common factor, so it will run on everything. If you use anything else, it will work on something and will not on otherthings...
As it follows from FAT32 being the so old, it is not an advanced filesystem.
There is nothing dependent on your os being linux or windows regarding your filesystem being FAT32.
PS: As a side note, reiserfs is a good and modern filesystem. With some trouble (installing some drivers), you can actually read/write to it from Windows too. If that is more trouble, you can go for ext3 (there are better programs available to access ext3). And if you go for FAT32, there IS NO problem whatsoever (except poor performance because of it being really old).
Hope that clears
(I am a little drunk right now)