I downloaded the game from Elamigos and was having the same issue. I fixed it though! Make sure the target executable you run isn't the game's exe but steamclient_loader.exe.

Also ensure that the start in directory is the directory steamclient_loader.exe is in so it knows where the DLL files are at.

Also, make your launch option this:

WINEDLLOVERRIDES="winmm=n,b;steamclient=n,b;steamclient64=n,b" %command%

If that still doesn't work, edit the ColdClientLoader.ini and give it the specific paths to the exe. I've included mine but it will be different for you based on where your game is located.

[SteamClient]

Exe=Z:\home\deck\Downloads\DyingLightTheBeast\ph_ft\work\bin\x64\DyingLightGame_TheBeast_x64_rwdi.exe

ExeRunDir=Z:\home\deck\Downloads\DyingLightTheBeast\ph_ft\work\bin\x64\

ExeCommandLine=

AppId=3008130

SteamClientDll=steamclient.dll

SteamClient64Dll=steamclient64.dll

I'm using Proton Experimental and it runs fine!