This game has a native Linux version which I downloaded, but it comes with no explanation about how to install it.

Open a terminal and change the working directory to the folder where you downloaded prison_architect_the_rock_3904_40671.sh (the installer file) into.
Then issue these commands: The first command will make the sh file executable, while the second command will launch it. A graphical installer should start and you simply have to follow the steps to install the game.

And do you know how to uninstall it? Once installed, it does not appear in the list of applications installed
in Ubuntu Software

EDIT :

OK, found how to :
In the home directory, there is a GOG game folder. Inside it, there is a folder for Prison architect which contains a script to execute in order to uninstall the game

Here's how I do it:
Open Terminal, then type:
cd ~/Downloads
sh prison_architect_the_rock_3904_40671.sh

The same process applies for any games on GOG with native Linux support.

Thank you!