I am running Windows 10 on MacBook Pro 15 in 2018 from an external TB3 storage (Akitio Node Lite + Samsung 970 EVO NVMe). You do need to allow external boot from "Startup Security Utility" under Recovery Mode.
I have eGPU plugged into the left side TB3 port and Elgato TB3 dock plugged into the right side TB3 port. The Akitio Node Lite is connected to Elgato TB3 dock as daisy chain. Samsung 907 EVO NVMe over TB3 does 2,500 MB/s sequential read and 1,800 MB/s sequential write on my benchmark using Samsung Magician.
If you you use TB3 external cases rather than USB 3.1 gen 1 or gen 2 external case, you don't even have to deal with Win2GO route for installation.