Probably GoG, itch.io, or just direct sales. A lot of companies aren’t set up for physical distribution, aren’t big enough to get their product into the retail channels, and/or would have a hard time selling internationally. Steam didn’t invent digital game sales, they just made it a little easier. I think the first game I bought online was around 2000 or 2001. It was DX-Ball 2 from Longbow Digital Arts (RIP Seumas McNally), along with a screensaver I loved that they’ve open sourced and I wish I could get it running on macOS and Linux. I was still in high school and didn’t have a credit card, so I paid using a postal money order. If developers were selling directly in the ’90s they can make it work again.