Yea its doable. Really depends on the games anti-cheat. You’d want to check each game.
Battle Eye based anti cheat games like R6S and Tarkov gave me issues last time i tried a similar setup. That was a few years back however, and with valves proton push, much of the compatibility has improved since then.
https://www.gnu.org/software/grub/manual/grub/html_node/Installing-GRUB-using-grub_002dinstall.html