for the last two centuries there have been plenty of great games for windows or at least closed-source x86 games
Remember that the Pyra's Linux system is not quite the bother. I'm a Windows guy myself (Linux still isn't acceptable for my activities despite multiple attempts) and I'm not even considering the WIN.
Closed-source programs just aren't optimized for such a device. Running them looks fine, but it won't be nearly as good as it gets on PC. Same goes for Windows 10.
It's much harder to find closed-source software for Linux, but that means almost everything which runs on it can be ported over and optimized for the Pyra.
Emulators and open-source games will run much better this way. I bet that OpenMorrowind on the Pyra will play much nicer than TES III on the WIN.
As for emulators, you should be covered with a Pyra. PCSX2 most probably won't run well on the WIN. Especially 3D games, they require either great GPUs or high-end CPUs for software rendering - which is much more accurate.
Up to and including the Dreamcast, everything will run fast and flawless.
DOSBox is included in the list. It may need a bit of tweaking to adjust it to the Pyra, but when 3D acceleration is fully implemented, this should run at least as good as any PC.
As for the FPSs and other more recent x86 games, the WIN will probably do better... for now.
The Pyra will be capable of running them - x86 emulation and WINE is an option and allows for games like Dungeon Keeper 2 or Unreal Tournament to run nicely (as long as 3D acceleration works - for now it's just lagging as hell).
I'm interested in this period too, but I think it will be better to wait for a CPU upgrade to have a try at it. A good ol' NFSU2 on-the-go would be fantastic, but it won't come anytime soon.
For now, expect 2000 games running perfectly fine, and maybe a few more with some trade-offs (30 fps, lower settings etc).
You can also count on Android ports - they're more and more common and a much better choice for the system : think of
Max Payne and GTA III running on the Pandora as an example.