So I know cave story can somehow be installed on this, but can other linux based games also be installed on this? If so how, and how would i set a customer Icon for it?
Cave Story works because the NX Engine has been ported to libretro, so you can run it within RetroArch.
Lakka is just an extremely stripped-down Linux distro that boots directly into RetroArch, so any other games would need to run within RetroArch, as well.