Try the heroic game launcher. It usually works well. It let you log into gog, epic and prime account and games easily.
If the game doesn’t run well, try your luck on protondb to see if there is a way to fix it : https://www.protondb.com/app/22380
I’ve install the gog version of fallout 1 with the heroic game launcher, it worked out of the box. Maybe you’ll have some luck with new Vegas.
Linux has been the biggest rabbit hole I’ve been in. There are too many distribution for me to choose one without testing as much as I can. It made me change what I wanted/needed. I went from “I don’t want to use CLI at all” to “man, GUI is too slow for that”.
I tried many Debian children and grand children distributions, Fedora based ones (Nobara, atomics bases,…), Opensuse, NixOS, Solus, arch based distributions…
Now, I’m on cachyOS, that seems to be the good balance I need (for now), between GUI/already configured and “I can do it the way I want”.
One year after starting using Linux, I’ve switched from a 3060ti to a 6700xt, just because it made hopping easier.
If you exclude me not being able to settle down on a distro, Linux is a funny experience to me. My needs are not that big, as I just play some games, have a light need of an office suite. I can do anything I used to to in windows, but without Microsoft and his friends looking above my shoulder.
What an horror ! What are you gonna do ? Use your working system ? That’s sad…