At it's very basic, the only thing preventing Windows software from running on Linux is the order in which commands are called to start the program. What WINE (and Proton) do is reconfigure the order of command calls. Of course, it's much more complicated than that because of proprietary third-party software like DLLs, DirectX, and .NET redistributables. The difficulty is increased by nearly all of these being closed source, and so, developers just have to make educated guesses at what's going on behind the scenes much of the time.

As for getting games working specifically with WINE and Proton, it's nearly always better to run the game through a terminal window so you can see the logs output in real time. A lot of times, I find a big log at the start saying something like "{LIBRARY NAME} not found" or something along those lines, and simply installing the missing library through your package manager usually fixes the error. For example if it said "libssl errror" then try typing "sudo apt search libssl" and usually there will be a library literally called that letter for letter and install that, or try installing the closest candidate like maybe libssl3 or libssl-dev.

So, the way to actually launch games through a terminal window is this. Substitute your actual steam path for {your steam path} in the following examples. Then you'd type ~/{your steam path}/steamapps/common/{the name of the proton version you want to run}/proton run ~/{the path to the .exe you want to run}/{the .exe you want to run}.exe.

It's as simple as that. You might immediately get an error saying KeyError: 'STEAM_COMPAT_CLIENT_INSTALL_PATH' or KeyError: 'STEAM_COMPAT_DATA_PATH'.

For STEAM_COMPAT_CLIENT_INSTALL_PATH, simply add or update the environment variable for that key by typing export STEAM_COMPAT_CLIENT_INSTALL_PATH=~/{your steam path}/compatibilitytools.d and for STEAM_COMPAT_DATA_PATH type export STEAM_COMPAT_DATA_PATH=~/{your steam path}/steamapps/compatdata