Iceland is plenty icy enough on its own. Lots of glaciers. But instead of covering 99% of the island, like Greenland, it's just a significant portion of it, instead. Also the weather there isn't particularly warm or great, even if it's more hospitable than Greenland
I believe the problem is that most of the games they host are Windows games, so in that regard, Linux doesn't make sense.
And maintaining something like Proton is pretty complex, there's so many different distros. Actually ensuring the game works probably was too big of a task for them.
You can always add your gog games to Lutris though.