This is a myth and has been for several years. The only games that do not work with linux are ones that have intentionally artificially disallowed the use of linux using kernel level anticheat (rootkit). Many of these games worked on linux until adding no-linux policies to their anticheat.
There is no technical incompatibility, only artificial policy choices that game companies have made
EDIT: you can downvote me, but I am still correct.
It's a very small subset of games and most are live service microtransaction garbage not worth playing anyway. Many are spyware and viruses disguised as games, eg Valorant