NVMe is just a protocol that runs atop the PCIe bus. So support for NVMe really is just, at the heart of it, a software issue. macOS does have NVMe support circa 10.10.3-ish -- remember that all models of the 12" MacBook *have* an NVMe SSD, so macOS has to support it.
However, as it looks like you may have guessed, your potential big problem is going to be EFI support. Even if macOS has NVMe support in the OS, that doesn't mean that the EFI firmware in your computer knows how to talk to an NVMe disk. What that means is that if you booted macOS or Windows off of a USB thumb drive, both OSes would be able to see and use the NVMe drive inside the computer, but you might not be able to boot off of an NVMe disk directly, even if the OS itself knows how to talk to the hardware, because the EFI is what has to kick off the boot process and bootstrap the OS.
On a 2015 model, though, until somebody actually tries it, my guess is as good as anyone else's about whether or not it will work as a boot disk. There is evidence to suggest that Apple snuck some NVMe SSDs into the 2015 MacBook Air's supply chain...it looks like some 2015 MBAs shipped with AHCI drives and some with NVMe drives. If this is true, that means that the 2015 MBA EFI must necessarily support NVMe. I have not heard similar rumors or news about 2015 rMBP, but if the 2015 MBA supports it, your chances are greater than 0 that a 2015 rMBP would. But somebody has to be the first one to try it!
It is very unlikely that 2013 or 2014 MBA or rMBP machines have NVMe support built into EFI, however (though, again, somebody needs to try it in order for us to arrive at a definitive answer!). My guess is that NVMe support probably exists in the EFI of any Mac model that formally removed the CSM "BIOS compatibility" layer/mode, but that is only a guess.
-- Nathan