As the steam starts another launcher, it's altering launch options like DRI_PRIME=1 - effectively when the game itself (and not the paradox launcher!) didn't launched with said option.

The fix was to go to NVIDIA X Server Settings -> PRIME Profiles -> NVIDIA (Performance Mode). That will force any application to run on external graphics, instead of going check if the application needs external graphics (and fail in case when I start play from paradoxes launcher that I started through steam).