I'm not really playing on proton myself, and I did encounter some problems like needing to select a certain proton version or having to add 'PROTON_USE_WINED3D=1 %command%' to the launch options. Unfortunately, this is not the place to help you get the base game up and running. As on windows, if you have a controller plugged in and don't want to use it, set bUse Joystick=0
You should also set all other settings, like resolution, graphics, perhaps keybinds. Skipping the annoying intro videos doesn't work on Linux, so you might want to edit the ini to remove them. Once this is set, you can install Oblivion normally. If you're playing on Linux, you most likely already know how to enable Proton for all titles. The goal is to have Oblivion via Proton, with OBSE, a working Wrye Bash and the Construction Set.
This is planned as a simple post, just outlining the differences between Steam and GOG (as described in my or Kat's guide).