The codes work on Steam, but you need to buy it through Amazon.
http://www.amazon.com/dp/B00DOD0TZG/ref=cm_sw_su_dp
You can just add the codes on Steam by getting them from your Amazon account after you purchase the games.
When you're logged in to Amazon go to Your Account > Digital Content > Your Games and Software Library:
There will be a product code next to each of the Bioshock titles.
To use these on Steam, click ADD A GAME > Activate a Product on Steam