Do you have heroic installed through Flatpak? If you do then install flatseal (through Flatpak) and use flatseal to enable permissions for heroic launcher. It should be pretty obvious how to do this once you have flatseal open.
By default Flatpak does not allow applications to write to directories outside of your home fir (and I think it also blocks access to other partitions).
Source: I did this on my system last Friday to install return to moria. Also I got zzz to work on my steamdeck out of the box with heroic game launcher.
You can download the installer to any folder you like. Use the plus button as the person above said. And you will probably be able to leave most settings as default. Just keep going through the prompts until it asks for the file.
If you run into issues. First go into the configuration and make sure that the executable is correct. (sometimes it points at the crash reporter executable)
If you get errors after that you might check protondb and see if people have other runner/wine suggestions. (you can get other versions with protonupqt).
I haven’t run newvegas before. But it hopefully will just work tm.
If you are launching the hoyo launcher through heroic then that will also have to obey Flatpak permissions. Since that is how the containers work.
You could try enabling full filesystem access just to test whether is it Flatpak permissions blocking you.