Some games seem to report measurably better performance on Linux, even. I imagine outside the steady-state, loading times could be a boon for Linux given that Linux filesystems are "faster"
Almost all games use their own VFS layer which heavily lean toward "few huge files with a lookup table" to work around NTFS' deficiencies. They used to be often chunked into 2 GB files, but since a few years developers stopped doing that. Some games even ship all their assets in a single file.