Steam Deck if you are lucky enough to find one, should be the best option, but some 'assembly required'.
Other than that, depending on your "tech-savviness" you could try one of the many Portable Retro-Raspberry Pi projects.
If you are looking for Plug'n'Play, I've also seen things like this, but did not try it myself to be able to recommend.
Last, there is always the PocketGo, easy to use and not expensive.