I don't see any actual playable games downloadable from www.europeana.eu at the moment, which is the website for the EU's collection of digital cultural heritage. That does come with the caveat that I've never used it much and may well just be missing something, though. However, there is a fair bit of stuff about videogames, even including images of physical hardware kept in various collections across the EU. I can also definitely see an argument for games being part of cultural heritage, particularly as the medium develops and becomes a bigger part of our culture. I think it'd be pretty fair to count Tetris as Russian cultural heritage, for example, not only because of its incredible influence but also how much it brought a Russian folk tune to global awareness (even if, ironically enough, it was an American version that did this second part).