As far as I understand, .exe is a Windows specific file, which doesn't run natively on Linux. It's been a while, but I previously had an older version running on my Steam Deck by running the .exe using Proton; I added the .exe to Steam as a non-steam game, went to the game's properties in Steam/Game Mode, and under "Compatibility" told it to use a version of Proton (I usually use Proton Experimental for simplicity's sake).
I can't remember if there was a native Linux build back then. I'm also not sure if there is a native Linux build now; looking inside the rar file, I can't find anything that looks like a native Linux executable. I'm not entirely sure if RPG Maker MV even supports exporting to Linux as an executable, it seems like non-Windows users are expected to just run the HTML5 version in a web browser (or use third party tools to convert the HTML5 version into a platform specific executable file).
Regardless, you can get it running on the Steam Deck perfectly fine by just running the .exe using Proton. There are guides online about how to do that which explain it much better than I could. I actually have a couple of game collections in my profile dedicated to games i've been able to run on the Steam Deck, and how I managed to do it (with a separate collection for NSFW games).