It's been a few years since I've tried, but I never could get the Linux Steam version to actually work. The problem is that Anodyne was built in Adobe Air, which only got a Linux version for version 1.0 (which is old and full of bugs and security problems) and is unsupported since then.
So I'd be not so sure you actually would get a working Linux version from Steam or Humble, but an offical answer from GOG would be nice (although rather unlikely).