Note that ProtonDB covers Proton, which is Valve's version of WINE, which is a reimplementation of Windows' libraries. It'll deal with Windows binaries running on Linux, but not Linux-native binaries. Some games have both Linux and Windows binaries, and some just Windows binaries. Steam calls running Windows binaries under Proton "Steam Play", if you see that term.
Steam indicates which binaries are shipped for a game on the store page of a game.
Here's Team Fortress 2's Steam store page as an example.
https://store.steampowered.com/app/440/Team_Fortress_2/
You'll note little white icons next to "Play Team Fortress 2".
There's a Windows icon, so they have Windows-native binaries. An Apple icon, so they have MacOS binaries. And a Steam icon, so they have Linux binaries.
By default, if a game has Linux-native binaries, Steam will download and use those.
You can also force Steam to use Windows binaries via Proton by going to the game's properties under "Compatibility" and choosing -- I'm not at my desktop at the moment, but something like this -- "force use of a specific compatibility tool" and choosing a particular Proton version.