It's just a Linux box, you can do anything that you can on any other Linux machine (including install Windows).

Linux more or less runs most Windows games. The ones that don't run are ones where the developer is going out of their way to make them not run - mostly with kernel-mode anti-cheats that just find themselves staring at the wrong kernel.

Steam makes that pretty seamless and Steam games "just work". For non-Steam games you need to do some tinkering, it's stuff that most people browsing this forum can do.