Update - Azeron Software appears to launch with GE-Proton9-5 + Steam compatibility.
Again though, I have no hardware to confirm this does work as expected.
Steps -
1. Download/Install
ProtonUp-Qt
2. Launch ProtonUp-Qt, select Add Version ->Version Dropdown -> GE-Proton9-5 -> Install
3. Download
Azeron Software
4. Make a folder in ~/Games/Azeron (not required, but easier to know where it's installed)
5. Open Steam -> Add a Game -> Add a Non-Steam Game -> Browse -> Select your setup.exe
6. Right Click azeron-setup.exe in Steam game list -> Compatibility -> Force the use of a specific Steam Play Compatibility Tool (I don't think the version matters here
7. Start azeron-setup.exe
8. I Agree -> Browse -> Select the ~/Games/Azeron folder you created earlier (step 4) -> Install -> Uncheck Run Azeron Software -> Finish
9. Open Steam -> Add a Game -> Add a Non-Steam Game -> Browse -> Navigate to your Azeron folder at ~/Games/Azeron/Azeron Software -> Azeron Software.exe
10. Right Click Azeron Software.exe in Steam game list -> Compatiliby -> Force the use of a specific Steam Play Compatibility Tool -> GE-Proton9-5
Now, Azeron should run as expected.
PS - I'm poor and willing to accept a discount code for a Compact for the research, to test further