Probably the easiest way to run it is with Vinegar, a Wine wrapper for Roblox. You can just install it from Flathub (or Discover on Steam Deck in Desktop Mode), make a configuration file in terminal to set it to Vulkan and then you're good to go after that:
mkdir -p ~/.var/app/io.github.vinegarhq.Vinegar/config/vinegar/ && { echo "[player]"; echo "dxvk = false"; echo "renderer = \"Vulkan\""; } >> ~/.var/app/io.github.vinegarhq.Vinegar/config/vinegar/config.toml
I know there's a launcher called Grapejuice that's very popular for running the game as well, but I don't know if there are any additional steps needed to get it to work.
Checkout protondb.com search for anything. Chances are just about any game you might want to play will run on the Steam Deck. Games that outright don't work are few and far between. The exception is competitive games with invasive (often kernel-level) anti-cheat measures.