The game had no sound when it was started but showed a message suggesting that OpenAL needed to be installed before the sound would work. I found a similar issue on a game called Megaton Rainfall and the solution posted there worked in this case as well

From user Kal-Eel:

"

1. download this file from Openal: https://kcat.strangesoft.net/openal-binaries/openal-soft-1.19.1-bin.zip

2. From that file extract the file soft_oal.dll from /bin/Win32 of the downloaded archive.

3. copy the file to your ~/.local/share/Steam/steamapps/common/Megaton Rainfall/ folder. **(in this case your DERE EVIL EXE folder)

4. rename OpenAL32.dll to OpenAL32.bak

5. Rename soft_oal.dll to OpenAL32.dll

6. Start game and destroy the aliens with full audio enabled! **(there are no aliens in DERE EVIL EXE, but you may destroy your keyboard by the end) "

There was an issue in the final section when the controls change to swipe controls. If you click and swipe between dying and the click to restart screen, the game closes. Due to the nature of the game, it was hard to tell if this was intentional, but I don't believe it was. It's also hard to tell if this is an issue only affecting proton.