So you seem to have a rather complex setup.
So does the below describe what you are doing ?
You have some kind of actual VPN software like Nord or hidemyip etc running on your phone.
You somehow share this to your router ?
You connect a PC to the same router and it using setting in the pc to cause it to use this connection.
I am surprised it even works at all. Your problem though is almost everything that is using a "proxy" is only using web traffic. Steam and many games do not actually run on a web browser. They use other data transfer methods. Very technically they are not using port 80 or 443.
So where is the internet connection. Do you have 2 internet connections, one on the router and a second on the phone. If we ignore the VPN part are you attempting to have the pc use the phones internet rather than the one on the router?
If you only have 1 internet connection on the main router and you are trying to use the phone as some kind of vpn server that is going to be very hard. It would be very complex even if you were to use a dedicated pc. Best case is to run a vpn on the router itself if it has that ability.
Well let me explain what I did again. I'm connect to a VPN on my phone, open everyproxy app on it and host a HTTP proxy. Now I don't know what it does but it kinda merges my router IP address, and the VPN address. Kind of mounting that VPN IP on my own IP. This causes my IP to be read as the VPN IP. Then on my pc, through windows settings, I set the proxy to use the IP and port given by the app, which are my default IP and port at the first place. Now as the app has done its thing, my proxy connection on pc let's me use use my internet with that VPN IP, without having an actual VPN on my pc. This is because I live in Iran and if you know what's going on here, this is the only way I can have VPN on my pc far as I can afford.
Now as this proxy I said, is being used by windows itself as i configured it in its settings, I expect everything to be tunneled by that proxy as every traffic flows through windows itself right? So the windows proxy settings should be global, and not only for my web browser. But some apps don't have the option to use system proxy, and instead detect them automatically, or use the raw IP address, not the one after proxy. So they see my default IP address instead of the one my VPN and proxy connection gives. And as many websites and services are censored here, I can't play my games as they're censored too. So I need a VPN for that. This is why I used this method to use a proxy to tunnel all traffic with it, which as steam or my games don't have a proxy configuration ability, they can't detect that proxy and censorship stays there for me.