Do understand that Steam is a program for accessing the Steam web site and navigating around on it.
Basically a repository of software games and ways to download and install them.
If you search for free Linux games.
There are some you can download and install.
Games shown to work in Steam OS+Linux are ones that should work in Puppy Linux.
For Fossapup64 9.5
First do the Fossapup update by using the program Quickpet (icon on desktop) -> Info -> Fossapup update
Reboot making sure to update the Fossapup save so now using the changes.
Install Steam offered in Quickpet.
When you first run Steam.
It will most likely do an update.
That seems to happen about every time you start Steam. They are constantly tweaking it.
Carefully do anything that is required for the Steam update to complete.
At times it may look like nothing is being done. It can be slow and the progress indicators may not change.
Make sure the Fossapup save gets updated with the changes.
For Puppy Linux.
I find the older less demanding and complicated games work best.
But several factors can determine how a game will work.
Computer hardware abilities, dependency software needed, game minimum requirements, etc......
Usually the game listing will provide info.