So on the gaming front, pretty much any mainstream Linux distro would work for that. Proton is pretty damn stable and great on any distro that supports Steam. If you like Bazzite though, you do you.
For pen testing, must-have skills are nmap, bash, sqlmap, wireshark and the burp suite. If you know how to use all those, you've got basic coverage of most common attack vectors (password cracking is also covered by bash, there's 101 different password cracking algorithms in various CLI spps).
I'm a lazy ass who doesn't care much about customization, hopefully someone else can help you with that :))
Might take some effort and learning bash and WINE + winetricks to get that running, but hey, you're gonna need to do that anyways for the pentest stuff :)