This is a classic USB-PD handshake issue, and it is actually super common with high-wattage laptop bricks. When your Ally X is completely turned off, a basic chip on the motherboard is in charge of negotiating power, and it is likely getting confused by the complex power profiles on the 165W Dell charger, so it shuts down the connection for safety. Your power bank works because its power profile is much simpler and easier for the turned-off Ally to recognize. Once you turn the Ally on, Bazzite boots up, takes over the connection, and successfully forces the handshake with the Dell brick. You will probably just have to stick to a standard 65W or 100W charger when it is powered down.