If its a loose folder of game files yeah you just add it as a non steam game and set the proton to run it with. Most games should kinda just work I did that with the need for speed series but some require protontricks to install some missing dependencies which should be within the game files. Although most of the games i get are abandonware so no experience of modern pirated stuff on the deck specifically
I have also done it this way for installer files. Added as a non steam game then launch and install. Once installed i change the same non steam games properties to the exe of the game to launch. I do this mostly because i generally have bad experiences with lutris although heroic tends to be fine