I've created a script to build Cave Story for the Steam Link, but there are a couple of issues still which make it a bit annoying to play, but it is playable.

So there currently are the following issues:
- Having music enabled slows down everything to a crawl
- A mouse cursor shows in the top left corner
- Full screen mode doesn't work, do not enable it
- You need to rebind with a keyboard connected to be able to use a gamepad

Maybe someone here is interested in patching the game up a bit to fix some of these issues. The script I've created can be found here: https://github.com/ValveSoftware/steamlink-sdk/pull/23


Here is the version you can install on your Steam Link: https://drive.google.com/file/d/1rXYrvaWMuy-WaATw-lOmriOFrQx5jrTj/view?usp=sharing

Just put it on a usb stick in steamlink/apps like usual.