I have a huge library of game EXEs on my computer, but they run at a 4:3 aspect ratio as they’re old, Proton/Proton-GE/WINE-GE keep the aspect ratio and place black bars left and right, which is desireble, unlike wine who stocks them to the left side of the screen.
I believe you need to set the file association within the settings of your desktop manager. If you use KDE, you can find these in the Settings panel under Applications/File Associations