Upd: Maybe this issue can help someone to evaluate current user interface problems: https://github.com/QubesOS/qubes-issues/issues/1117
In practise there are some issues with the specifics (like the XEN version and patchset), so it's not a turnkey solution (yet).
As long as you are only playing casually: I vaguely remember a HN article about someone using steam's inbuilt streaming and running the games on AWS GPU spot instances, at a significantly cheaper price than building an equivalent gaming pc.