Solution for linux users. Proton can be run manually and connects to the steam API properly even when started from a shell script.
A simple demo is here in this pastebin
Note: Steam still needs to be running
You will need change the username to point to your home directory and change any other non-standard directories you might use. The script is using Proton 5.0, you will need to have it installed or change it to the version you want.
No file editing, 3rd party tools or other nonsense needed.
Edit
Noticed I accidentally left something specific to my filesystem on there, the last line should be
/home/username/.local/share/Steam/steamapps/common/Proton\ 5.0/proton run ./ConanSandbox/Binaries/Win64/ConanSandbox.exe
Forgot about my ~/Games/Steam symlink to ~/.local/share/Steam/steamapps/common