This is not what I said, the Windows installer won’t permit you to install it to an external drive. It’ll install just fine on an internal drive or even a SATA SSD drive on a PCI-card, just not M.2 blades.
I haven’t had the time to cc my Windows installation to a M.2 to verify if it’ll boot. But most Windows guides to installing on an external drive say this should work.
https://docs.microsoft.com/en-us/windows/deployment/planning/windows-to-go-overview
Windows To Go is a feature in Windows 10 Enterprise and Windows 10 Education that enables the creation of a Windows To Go workspace that can be booted from a USB-connected external drive on PCs.
Windows To Go Creator
This feature allows you to install and run fully-functional Windows on an external hard drive or USB flash drive, which means you can carry this portable Windows USB drive to anywhere and use it on any computer.
https://www.easyuefi.com/wintousb/index.html
Once booted I don't see a reason not to be able to install a Bootcamp control panel using brigadier.