We know about people who've gotten grants to support their game design work in Scandinavia. I do not accept that there is no way to do this in the United States. I think there must be a way, and it is just a matter of combining our web-research might so that we can find the right organizations/foundations.
I've made a number of attempts at this on my own, and all I've learned is 1) arts orgs tend to be very specific in what they want to grant to, 2) almost none of them want to grant to individuals at all, and 3) on my own is no way to do the searching.
Also, I do not even have the most basic of starter links handy right this second, but I want to start the discussion anyway. What would motivate you to pursue this seriously?