Proton did a good progress of running Windows games inside steam, but you can’t use it with the games that isn’t in steam like GOG and Origin, but it is possible to do that.
To be able to use Proton with Lutris with any games:
First, you need to create a folder called Proton inside this location:
Then copy all the files inside the directory dist under Proton 3.XX (The latest version is 3.16) to the folder you created earlier.
Now, you can choose Proton 3.XX from Wine versions under Runner options, and use it to run any games.
The performance with Proton 3.16 is better than TKG 3.19 with a lot of games that I tried with.