Inquiries regarding schengen visas and asylum applications

[Amdaskm]

Hello
I'm a national of very conservatively Islamic country and under the threat of prosecution on religious basis.
My questions are as following:

If I obtain a visa for X schengen member state, can I travel to Y state without first passing through X? Say if I obtain a Maltese visa, can I travel directly to some other EU country?

If so, will the country I travel to be one responsible for processing my application or do I risk deportation to the state which issued the visa?

If I fail to obtain a schengen visa, do you know if applying for asylum at the Greek-Turkish border will enable me to travel elsewhere from there or will I be detained and my mobility be restricted?