You can do so, but that doesn’t make it the best idea. There’s a reason the devs say not to. Steam makes it very difficult to manage prefixes, installing dependencies and running exe’s under the prefix is very awkward. There’s really no benefit over using Lutris or Bottles.
Proton is meant specifically for steam games. Proton developers recommend not using it for other games, and just using wine. Also if you use steam to run games managing the wine prefix because very annoying.
This site has everything you need besides the rom