If your hardware supports it you can passthrough a graphics card to a Windows VM and play games in the VM with almost no performance penalty. It requires a bit of technical skill to do this though, and needs to be supported by all of your hardware.
Look up IOMMU VGA passthrough.
The final set up is essentially that you have two graphics cards, usually an onboard one on your CPU + a discrete one. Then you hook them both up to your monitor using different input methods. Then you use IOMMU to passthrough one of them to a windows virtual machine. At this point you can change video input by pressing a button on your monitor, and go back and forth between the Linux desktop and the Windows desktop by changing video input to the monitor.
If you want to passthrough a keyboard and mouse too (instead of using a lower performance virtualized keyboard and mouse), you can get a USB switch and passthrough a USB card to the Windows VM too. Then you have your mouse and keyboard hooked up to the switch, and the switch hooked up to one USB card that isn't passed through, and another that is passed through. Then you can switch physical keyboard and mouse input between Windows and Linux.
Some monitors have built in USB ports that will switch when you press the same button that switches video input. You could also use a KVM switch too.
When you want to play games, you press a button on the monitor to switch video input to the discrete graphics card, and then the Windows desktop comes up on the screen. Then you use the USB switch to redirect keyboard and mouse to the Windows desktop as well. Now you are on Windows as far as you can tell, and can play games with almost no performance penalty, because passthrough gives Windows direct access to the physical keyboard/mouse/VGA.
When you are sick of playing games, you switch video input on the monitor back to the onboard graphics and Linux desktop, then switch keyboard/mouse input back to the USB card that you didn't passthrough, and you are back to Linux. You can passthrough a sound card as well, or even use a USB sound card through the same USB switch as keyboard and mouse, or directly from the monitor if it supports USB switching.