Surprised no one mentioned Enderal yet. It's a total conversion mod for Skyrim (special edition) and it really fits the bill of mystery/horror. It's my favorite game from a narrative point of view; the soundtrack and voice acting is also excellent, and I have re-listened it long after finishing the game. The only issue would be that you mentioned you would prefer a more linear experience, rather than an open world. The main quest is fairly linear, but you can still go off the rails and explore - but the pull of the story will always set you back on track.
ProtonDB lists it as playable on SteamDeck; the game itself is free, although you will need Skyrim Special edition (which is around 10$ on Steam right now).