No there isn't.
What is there are Linux users playing Windows games.
There used to be one, sadly the likes of Loki Entertainment are now gone.
What do you call a game that plays natively on Linux?
Not a windows game.
I don’t really see what the difference is. If they run well, what does it matter?
a) The vast, overwhelming majority of regular gamers who could potentially be convinced to try gaming on Linux truly do not give a shit about whatever line you're trying to draw here.
b) Driving widespread adoption of gaming on Linux is a chicken and egg problem---without a significant market of Linux gamers, developers and publishers have no reason to publish native versions of their games on Linux, and without games to play, nobody is going to install Linux on their gaming system. Proton directly solves the latter problem, and may indirectly solve the former when Linux sees widespread adoption by gamers.