I realized the game has a built in benchmark.
So here is one run on Windows and one on Linux. Both using ultra settings without ray tracing at a native 4k without any upscaing.
That's 56% of the performance I get on Windows.
proton experimentalx1 2023-03
Returnal runs significantly slower than on Windows.
With the DigitalFoundry Optimized Settings and DLSS performance, it runs at around 110-144 FPS (and 144 is the limit I configured).
Proton Experimental BE (as of 2023-03-02) manages 70-90 fps with the same settings on the same hardware.
It seems mostly CPU limited on Windows while with Proton it's practically GPU bound at all times.
Nvidia RTX 3090 with 525.47.11.