Watch out, the suggestions in the other replies are hazardous. It's possible to add your windows Steam library to a Linux client, after mounting the windows partition, and this will work fine most of the time(so you could still give it a try). However, you're also likely to run into annoying-to-debug issues due to Linux's mishandling of ntfs.
I've eventually given up on this method, and I'm not sure if there is a good solution. I ended up just buying more hard drive and selectively installing the games I want in linux partitions.
If you're intending to use Proton, FAT filesystems aren't recommended as they don't support symlinks or certain important filename characters like ':'.
I don't understand the last part. : is not a supported character on Windows at all. Windows games should not expect to be able to access file names that contain it.
1) The colon is part of the syntax to access alternate data streams, i.e., it is not an actual part of the file name. In the same way that \ is not a valid character in file names, but it is used to delimit folders.
2) I seriously doubt any game uses alternate data streams for anything.
There is 'native' support in Kernel 5.4 which doesn't require any extra drivers. The other driver I've used before that is userspace so can be a bit slower but works fine.
I've eventually given up on this method, and I'm not sure if there is a good solution. I ended up just buying more hard drive and selectively installing the games I want in linux partitions.