As far as I know you are right and that claim is not present in any surviving texts from Antiquity or the Middle Ages (although there may be some obscure Medieval or Renaissance manuscript with a story like this).

There have been several psuedo-historical claims that she was into the ancient beauty fad of bathing in milk to make skin smoother and fairer. Some Roman poets like Horace and Propertius claim that she was a hardcore fan of wine but in a more typical fashion:

You fled then to the wandering mouths of frightened Nile: your hands received Romulus’ chains. I saw your arms bitten by the sacred asps, and your limbs draw sleep in by a secret path. And your tongue spoke overpowered by endless wine: ‘This is not as much to be feared, Rome, as is your fellow-citizen!'^Propertius, ^Book ^IV, ^Elegies

It would have been wrong, before today, to broach
the Caecuban wines from out the ancient bins,
while a maddened queen was still plotting
the Capitol’s and the empire’s ruin,
with her crowd of deeply-corrupted creatures
sick with turpitude, she, violent with hope
of all kinds, and intoxicated
by Fortune’s favour. But it calmed her frenzy
that scarcely a single ship escaped the flames,
and Caesar reduced the distracted thoughts, bred
by Mareotic wine, to true fear,
pursuing her close as she fled from Rome,
out to capture that deadly monster, bind her,
as the sparrow-hawk follows the gentle dove
or the swift hunter chases the hare, ^Horace, ^Odes

However, these are pretty much apocryphal, "Eastern decadence" copypasta and are still not mentioning any bathing in wine, just the consumption of wine. That said, there is a long tradition of making claims about "Cleopatra"'s beauty routine and I am going to cannibalise an older answer of mine here:
We can not say for certain what products Cleopatra would have used personally, although the tombs of Pharaohs that have been discovered often contain cosmetics that give us an insight into their cosmetic preferences. But that particular cream you describe is part of an ancient tradition, as cosmetics and cures supposedly created and used by Cleopatra have been pseudo-epigraphically attributed to her. From the 2nd Century AD Roman physician Galen who lists cures for hair loss and skin condition allegedly authored by Cleopatra, to Byzantine authors who praise her knowledge of cosmetics and gynaecology, it is evident that people have been using recipes favoured by "Cleopatra" for a long time. This only makes sense if take into account that Egypt has had a reputation for medical wisdom and an association with cosmetics for millenia and that Cleopatra herself is described as both a seductive and vain woman, and as having especial knowledge of cosmetics, poisons and medicines along with being associated with various contemporary physicians such as Philotas and Diodorus Phacas, in various ancient historical traditions.

Of course it is impossible to assess the veracity of these claims, and any extrapolation that could be made from such late evidence points towards her reputation in this regard but not towards contemporary proofs.

Various authors and salespeople have been marketing different cosmetics, trends and secrets as having the Cleopatra Seal of Approval^TM for millenia but we actually have less of an idea about her personal cosmetic habits than we do about Tutankhamun, she could have used any and all of the known Egyptian, Greek and Roman practices or none of them. We simply do not know. Bathing in wine however we do know is not attested to in ancient sources so even if by some bizarre twist of fate future archaeologists found evidence that she did this very specific thing it would be the result of a crazy coincidence that it lined up with that random claim. For the time being however, my rule of thumb is that any product claiming to be sharing the beauty secrets or personal routine of Cleopatra is lying, either because its claims are based off of shady sources or like in this case, its claims are pulled out of thin air.