Alex Casey (the detective from Alan Wake’s books) is essentially Max Payne - they had to change the name when making Alan Wake 1 because Rockstar had bought the IP.
There are callbacks in AW2 in both narration, atmosphere and character design that I really enjoyed, but you won’t miss out on anything story-relevant if you haven’t played it. Watching a couple of minutes of cutscenes from Max Payne 1 on YouTube is probably enough to get most of the references.
If you’re worried about bugs I think you should be able to get Mod Organizer 2 running on Steam Deck, and with all the various stability mods installed New Vegas runs fairly well. The Viva New Vegas mod guide is a great place to start, it should have most of what you need to get going.