That's an interesting issue...never ran into that myself. What version of Proton are you using? I've had very few issues with the Proton 10 beta
You have to add the exe file as a non-steam game. There should be some good tutorials on youtube
The game is already running much better a few updates in. Got it working on my Steam Deck via the Proton 10 beta. Definitely a lot of bugs to squash but I really like it so far. The sprites are great and the game looks fantastic.