How can I install linux games on Windows and play them from Ubuntu? (Dual boot)

So here's my situation: I have a pc with dual boot between Windows 10 and the latest Ubuntu 64 bit.

Because I installed Ubuntu just for work, I only gave it 30 gb. The / partition has 15 gb, swap has 6 gb and /home has 9 gb.

But now I found out that I can access files from the Windows partition and use them. That made me wonder if I can install games on the Windows partition and run them from Ubuntu.

I imagine that I can't install them on the Windows partition via Ubuntu, but can I boot Windows, install the games, restart and boot Ubuntu, and play them from there?

I don't plan to use Ubuntu for gaming btw, I'm just curious.

Edit: To explain better: I want to install Linux games in the Windows partition (C:), and run them from Ubuntu boot.
Basically, I can boot with Ubuntu and access all files I have in the Windows partition. I can load images, play music and videos, etc. So, I am wondering if I can install linux games in the Windows partition and play them.

Edit 2: Using Steam, if I try to set the instalation folder in /media/something (where Windows files are), it will pop up a message "New Steam library folder must be on a filesystem mounted with execute permissions"