Hey, this happened to me with Pripyat, and is apparently not uncommon, but I fixed it and wanted to share my solution in case anyone else runs into this.

In the steam shortcut, the "start in" directory needs to be the base game install directory and not the /bin/ subdirectory where the exe is. Delete the "bin/" and it should be good to go. (The normal GOG start menu shortcut does this and is fine.)

(If anyone was gonna ask, I run a lot of my gog stuff through steam so I can use the overlay to IM with friends and sometimes check GameFAQs without leaving fullscreen.)