Steam won't install older versions of games, it will only ever give you the newest version.

But you don't need Steam in the first place. A GOG vesion is all you need.
Here's the easiest way to get what you want I can think of:
1) Install the oldest version you want with the installer
2) Copy the game folder to somewhere else
3) Install the next higher version you want (or install a patch)
4) Repeat

If you don't start with the lowest version you want to keep you will need to mess with the registry.

Well, regarding Steam that's not correct. You can stop updating and can go back to an older version and stay there. I have Stellaris on Steam and that is what I've done. However I would like to have a current version, too. And that's not possible on Steam - or only with a lot of hassle: Uninstalling and re-installing every time you want to change the version. So, the idea is to get it on GOG, too, probably in combination with GOG Galaxy so I do not have to do updating myself (if that's what Galaxy is doing). If of course it is possible to run two different versions. But since you suggest that yourself (though in a different way) I would think it should be possible ...

yes its possible to install them but which ever one was installed last takes control so no they do not play nice together

Gog allows the last 5 builds
Paradox allows more builds and if you buy Stellaris on Gog you will also get a key to unlock it in your Paradox account so you can use their installers

Gog, Paradox and Steam are all locked i.e, one or other on your system at the same time so uninstall Gog before loading the Paradox version for example

Hm, that's bad news ...
That means I would have to buy a second computer? Hard luck ...