I did that, but the issue still persisted. Even tried to zip if into a new file but it didn't help. Im wondering if this game might have issue with window 11 or something.
I installed Kubuntu in a virtual machine and downloaded lonarpg. When I extracted it and booted up the game, it gave me an option to "choose an application to run game.exe." Which application do I pick? (I'm new to Linux, and I have no idea what I'm doing). Also, is data.zip supposed to be unzipped?

you need to install it on computer and you need to install steam through the steam website and within tools inside steam install proton experimental then run LinuxStart.bin or LinuxStart.sh within the lonarpg folder
Reason i say all this is because you need to install a compatibility layer either wine or proton to get the game to start on linux
Actually join the discord with RoomLinks.zip and talk about it in the Linux nerd channel since its easier for me to help you in real time there.