My Controller is connected to PC. But I can't play game with controller.

Ex.Split Fiction ,Elden Ring Nightmare

Depends on your controller. Unless it's archaically old you can run the exe through steam by adding a non-steam game to your library (in the games tab at the top), then use steam input to connect your controller. You can force this in the steam properties menu shown on a cracked game here.

Most games don't have input enabled for switch pro controllers so this helps a bunch and also allows you to reconfigure your controller however you want. I'm pretty sure big picture mode allows for more in depth customization but normally default buttons are fine on most gamepads.