Once I try to run it, the launcher starts, but there's only one option -- "Install". But when I click it, it says "Fallout New Vegas does not appear to be installed and the installer could not be found. Try exploring to your DVD-ROM drive and selecting setup.exe to install the game"

Perhaps, the problem is, the game isn't supported officially, so probably the game tries to check in the registry if the game is installed, but sees nothing in it as I'm running it on linux.

Tried all the versions of Proton with no luck.