Those of us that plays on Linux with a fairly big monitor has suffered from an extmely small cursor for a while. HOWEVER - there’s actually a fix 
You can run winecfg and change the DPI. So first things first. Which version of proton are you using?
Mine is at ~/.steam/steam/steamapps/common/Proton\ -\ Experimental/proton run winecfg
For that command to work you need to set to vars: STEAM_COMPAT_CLIENT_INSTALL_PATH and STEAM_COMPAT_DATA_PATH.
This matches my system (CachyOS) - your’s is probably very similar.
export STEAM_COMPAT_CLIENT_INSTALL_PATH=~/.steam/steam
export STEAM_COMPAT_DATA_PATH=~/.steam/steam/steamapps/compatdata/899770
899770 is actually the steam id for last epoch so if you have multiple folders (which you most likely have) make sure to choose this one.
I created .sh file for it which looks like this:
touch le-wine-cfg.sh
nano le-wine-cfg.sh
And then this is the file contents:
#!/bin/bash
export STEAM_COMPAT_CLIENT_INSTALL_PATH=~/.steam/steam
export STEAM_COMPAT_DATA_PATH=~/.steam/steam/steamapps/compatdata/899770
~/.steam/steam/steamapps/common/Proton\ -\ Experimental/proton run winecfg
Run chmod a+x le-wine-cfg.sh and execute the file ./le-wine-cfg.sh
This should give you a wine configuration window looking. Under “Graphics” you can change the DPI. It’s probably set to 96. I changed mine to 216. Restart Last Epoch and you now have a curse you can find.