I could not even Alt+Tab out of it, and had to kill it changing to a terminal via Ctrl+Alt+F Key.

Changing the configuration file steamapps/compatdata/409720/pfx/drive_c/users/steamuser/Application Data/BioshockHD/Bioshock2/Bioshock2SP.ini wouldn't work at all (the settings would be reset as soon as the game starts). I had to start the game within a virtual desktop¹ and then change the settings from the game's UI. After that i experienced https://github.com/ValveSoftware/Proton/issues/482.

• Ubuntu 18.04.1 LTS (64 bit 4.15.0-33-generic)
• GeForce GTX 1070/PCIe/SSE2 (396.54)
• tested with Proton 3.7-3 and 3.7-4 Beta

System information from steam

¹ via

WINEPREFIX=/media/pedro/SteamWin/Steam/steamapps/compatdata/409720/pfx winecfg

as suggested here.