Here's a better way to experience the game without having to mess with Proton at all.

1. Right click 'Anchorhead' in the left pane.
2. Manage > Browse local files
3. resources > app > anchorhead > Anchorhead.gblorb
4. Make note of the .gblorb's location or copy the file to a more convenient directory.
5. Start your favorite .gblorb parser (I'm using Lectrote, found at https://github.com/erkyrath/lectrote/releases).
6. Open the .gblorb file.

Enjoy! A bit of trouble, but if you prefer FOSS over proprietary but also happened to buy this game on Steam, this one's for you.