That dialog you got is consistent with the current directory not being the one the exe is in. I'd try cd-ing in there and running it to see if it behaves any differently.
Sadly there's no easy Linux export button to mash. My tech stack looks like this:
- Game logic in Python 3
- CEFPython provides Python bindings and IPC to Chromium Embedded Framework, which does the browser UI
- PyInstaller bundles the Python interpreter with the scripts and libraries and makes an exe
All this stuff does support Linux, but setting up the build automation to cross compile and test is a significant chunk of work, so it's hard to make time for it when Proton is doing such an awesome job.