You need to install a game first. You can use a program like Lutris or Heroic to do that first and add to Steam from there. It depends on the game mostly. I run Bazzite on a PC and I've gotten Doom Eternal to work perfectly, a portable version of Assetto Rally working with texture issues, and some FORZA games just don't want to install at all.

It's a fun process of trial and error, best of luck with it. Maybe look into the games you want to do first and see how simple they are to install, games with Denuvo workarounds may be trickier since the solutions are so OS specific. But anything that's just a GOG exe or has been repacked nicely could Just Work