The official installation process won’t work, as Bazzite is an immutable distro.

You can install it with rpm-ostree. If you choose to do so, I invite you to look into what immutable distros are, and what problems they solve (and create).

I was curious and searched if it was more complicated than it looked for ProtonVPN. It doesn’t look complicated, but it is not very straightforward either.

You can find how to do it in the comment of this reddit post