If you are not playing with the Commander Lillith expansion that allows you to level to up level 80 (and use over power levels), then its generally better to use the native linux version. That expansion, however, requires the windows version, which I was able to get working.

Using the Ryan shaders option (more info here: https://www.reddit.com/r/Borderlands/comments/1ork44/the_most_important_ini_tweak_defaultpostprocess/ ) I was able to get playable framerates on integrated graphics, even in Proton. The loading times were longer than on the native linux version, and when I loaded into a new map, it would take several seconds before all of the assets loaded and the framerates to come back up, but afterwards it became playable.

I also was able to hexedit the executable using the web tool ( https://c0dycode.github.io/Borderlands-Hex-Multitool/ ), and change the console key in the .ini file, which allowed me to run the UCP. I was unable to get the Patch.txt file working, but the patchoffline.txt version worked well for me.