Context. Ultra-luminous X-ray sources (ULXs) are high-mass X-ray binaries with an X-ray luminosity above 10³⁹ erg s⁻¹. These ULXs can be powered by black holes that are more massive than 20 M_⊙, accreting in a standard regime, or lighter compact objects accreting supercritically. There are only a few ULXs with known optical or ultraviolet (UV) counterparts, and their nature is debated. Determining whether optical/UV radiation is produced by the donor star or by the accretion disc is crucial for understanding ULX physics and testing massive binary evolution.

Aims. We conduct, for the first time, a fully consistent multi-wavelength spectral analysis of a ULX and its circumstellar nebula. We aim to establish the donor star type and test the presence of strong disc winds in the prototypical ULX Holmberg II X-1 (Ho II X-1). Furthermore, we aim to obtain a realistic spectral energy distribution of the ionising source, which is needed for robust nebula analysis. We acquired new UV spectra of Ho II X-1 with the Hubble Space Telescope (HST) and complemented them with archival optical and X-ray data. We explored the spectral energy distribution of the source and analysed the spectra using the stellar atmosphere code PoWR and the photoionisation code CLOUDY. Our analysis of the X-ray, UV, and optical spectra of Ho II X-1 and its nebula consistently explains the observations. We do not find traces of disc wind signatures in the UV and the optical, rejecting previous claims of the ULX being a supercritical accretor. The optical/UV counterpart of Ho II X-1 is explained by a B-type supergiant donor star. Thus, the observations are fully compatible with Ho II X-1 being a close binary consisting of an ≳66 M_⊙ black hole accreting matter from an ≃22 M_⊙ B-supergiant companion. Furthermore, we propose a possible evolution scenario for the system, suggesting that Ho II X-1 is a potential gravitational wave source progenitor.