Hmm, do you mean so it looks steampunk? or runs a steampunk game? or is powered by steam?

If you want it to look steampunk, I'd say possibly a skin combining wood and metal patters, shaded in a style similar to your favorite steampunk anime or game. Maybe add a valve key to the back (with the stem filed down so it doesn't stick out too much).

If you mean so that it is powered by steam, go to the late 19th century, steal a steam-powered portable generator, and hook the wires from the generator to the game boy. Maybe add a surge protector and DC adaptor if it's AC.
I'd say stick to making it look steampunk.