If the game isn't too big, you can add the installer exe to Steam via the "add a non-Steam game" menu, set it up to run with Proton, and then click the Play button which will launch the installer. When it's done installing, remove the installer from your games, and add the game's exe to Steam directly.
If the game is too big (60gb or more) use Lutris's "install a game" feature, and run the installer from there.