A “ez” solution would be simply stay on Windows and leave Linux as a novelty. A somewhat complicated solution – double booting (apparently Windows can be a privacy nightmare even while dual-booting). A quite hard one would be installing Linux and running Windows on a VM with GPU passthrough. The “are you bleeping kidding me?” approach would be buying another PC just to run Linux while leaving your “main” PC for Windows.
“Is there a sane approach for this?” – yep, there is! Which is, buying a console and use it solely for gaming while leaving your main PC for daily browsing and everything else (i.e Linux).