You'll be able to play any game that can be run on Proton (Valve's Linux compatibility layer). Technically, you can install windows on the deck and then run anything on that, but that's not supported out of the box.
Looking at an x-ray photo of an SD card it doesn't look good... You could always try it as long as you have a way to pop it out. Or maybe in another reader?
Lol it is in a weird way. It's Gurgi from the artist J. Kunz from the Black Cauldron / Prydain stories.