After trying multiple things in SteamOS I think I finally got a nice clean way to get NordVPN installed on the Steamdeck.
First, disable the readonly file system
sudo steamos-readonly disable
Now install the required packages with pacman:
sudo pacman-key --init
sudo pacman-key --populate holo
sudo pacman -S base-devel
Then set up NordVPN:
mkdir builds
cd builds
git clone https://aur.archlinux.org/nordvpn-bin.git
cd nordvpn-bin
makepkg -i sudo groupadd -r nordvpn
sudo gpasswd -a deck nordvpn
sudo systemctl enable --now nordvpnd.service
nordvpn login
Copy the link and paste it in your browser and log in.
Once done, go back to your Konsole window and enter
nordvpn c UK
You should now be connected to a NordVPN Nordlynx UK server
Finally, don’t forget to enable the readonly file system afterwards.
sudo steamos-readonly enable
As an extra step, download NordVPN Plasmoid from the Discovery store, then you will have a lovely clickable icon to connect rather than using the CLI
Couple of other useful commands you may want to run in Konsole:
nordvpn set threatprotectionlite on
nordvpn set autoconnect on
nordvpn set meshnet on
nordvpn set analytics off