The hardware on the ally is better but the software is weaker in some key areas (while being stronger in others!). Ally has a much more powerful chip (yes 10w exists, these devices all have 2 hour batter lives in games that need power anyways), it has quiter fans, a better screen, and is available potentially at your local best buy.
For software, anti cheat is still a massive hurdle for Linux so if you play any games that have issues on Linux, tough luck. General game compatibility can also still be a problem with Linux, coming from someone who's been using Linux on their main system for 5 years now. Proton updates can break some games, some games work better with certain versions, need extra fixes, or some won't work at all. New games will also tend to have extra issues, as can game launchers other then steam.
The deck makes up for that by being streamlined in plenty of other ways, so if you want the most console like experience then the steam deck is your option. It has resume on wake, it has a very streamlined ui, gamescope and mangohud built in, etc. If you want the best hardware and want all your games to work even if the interface is worse, then just get an ally.
And yes you can install Linux on the ally or Windows on the deck, I wouldn't bother with that though. Just get the device that best suites your needs.