You can't install it with dpkg because dpkg is not this distro's package manager. It would conflict with xbps. So the dpkg in repo is built without install support. You can attempt to install it manually by doing:
ar x filename.debextracts the content of the .deb file
mkdir temp
tar xf data.tar.* -C tempExtracts data.tar.gz or data.tar.xz to a new folder
sudo cp -R temp/* /
Copies the extracted data to root. Your package is installed.
I don't guarantee it will work. In all honesty it will probably not work since Debian derivates and Void use different directories for certain files, just pray and see if it works. Your package won't be automatically updated.
If your package is available in .rpm instead of deb you can use the rpmextract command to save yourself the hassle of extracting a deb. I made a script to automatically install deb files on void but at this time it's still kinda broken, it only works on my machine for some reason