Probably you shut down Windows incorrectly so now it's locked. If you still have Windows installed, try to restart it. If not... well, i would just copy all files to another storage and format NTFS.
Remember when it just came out i've seen "psychological horror" in steam tags. Thinking that's probable there for luls but decided to check the game anyway... i wasn't ready for it.
Afaik umu sets dlls based on game's ID. But what if i launch noname game from, let's say, itch.io? In this case wine GE adds some universal stuff for any game. Is it works the same for UMU?
You can do it on mbin