Why not install MS Windows on the new iMac and run your video games on the iMac, you can run your games natively in MS WIndows by using Boot Camp for the best user experience.
iMac's have had Thunderbolt connections since 2011 so this isn't anything new. However to answer your question about a Thunderbolt equipped PC, you need to contact the developer and see if their boards support Target Display Mode on Macs. That is the name of the feature you are inquiring about. You can find out more about TGM by reading Apple's Target Display Mode 2011 Macs article.
Also please click the More Like This link directly to your right for similar posts as yours.