I’m also having this problem with Horizon: Zero Dawn, played on Steam with Proton Experimental. The game boots fine but crashes about 80% of the way through the loading screen. After increasing my swap file to 8 GB (I have 16GB RAM) I was able to load a game and play for a few minutes before crashing again.
My system:
OS: EndeavourOS Linux x86_64
Kernel: 5.13.4-arch1-1
WM: awesome
CPU: AMD Ryzen 5 3600 (12) @ 3.600GHz
GPU: NVIDIA GeForce RTX 2060 SUPER
Memory: 15922MiB
After downgrading the driver to 465.31, I was able to play the game with maximum quality settings.