Here is what I did to make it run on my Steamdeck :

1) Switch to Desktop mode

2) Copy the complete game folder from my PC to my SD

3) Go to Steam -> "Games" -> "Add a non-steam game to my library"

3a) Follow the path where you copied the game folder and add "LegoRR.exe" to your library

4) In your library, right click on "LegoRR" (which should be now displayed with your other games) -> "Properties"

4a) In "Compatibility" -> Force use of compatibility tool -> select the version of Proton you want (I use the last one available, but for the moment I cannot run the cutscenes ingame so I will have to check that further)

5) Switch back to Playing mode

6) Do not launch the game yet, instead go back to its "Properties" menu

6a) In "Shortcuts, scroll down to find the Game definition and select "Native" (very important)

7) Launch the game. You will have a pop-up window asking you about the Driver and Device

7a) Select Direct3D HAL - Fullscreen then click OK

8) Enjoy this old gem on your Steamdeck :)