You can use Lutris. But if you don't want to go that way, you can simply use proton directly.
I have a script that I use on my linux machine that automatically detects an "exe" file in the same directory and runs it via proton. With that I've been able to play non-steam games easily enough.
There are plenty of tutorials online on how to run proton via CLI, here's one
EDIT: As @[email protected] said, you can also add exe files to Steam and have it run that way. Its probably the easier way compared to running it via terminal