EDIT: OP, sorry for not answering your question directly - but I'm uncertain if or how you can have both OS X and Windows installed onto the same external SSD. I guess one could partition the drive into two partitions using OS X Disk Utility and then format one of the partitions as Free Space or exFat and then proceed that way - perhaps by using some tricky terminal commands or otherwise.
Below is my experience with Windows on an external SSD connected through Thunderbolt on an iMac.
Sadly BootCamp will always use the internal spinning drive if you have such in your Mac. I currently own a 21,5" late 2013 iMac and have an external LaCie Thunderbolt SSD connected - It's possible to wipe this clean and fresh install Windows 8 or 10 onto this using a few Command Prompt commands.
For instance I've had Windows 10 installed on my external SSD a couple of times always using a Windows 10 ISO x64 directly downloaded from Microsoft themselves. I've previously activated Windows 8 and upgraded to 10.
I usually type these commands in the Windows 10 install window(first Shift+fn+10 to get to the CMD prompt)
1. diskpart
2. list disk
3. see which disks I have then select the SSD
4. type "select disk" then the number
5. type "clean"
6. type "convert gpt"
7. type "create partition efi size=200"
8. type "format fs=fat32"
9. type "create partition msr size=128"
10. type exit two times to first exit diskpart utility and then the CMD window.
Now without formatting the drive in the actual Windows 10 install window which lists all the drives connected just choose your SSD and then proceed to install to it. Usually when installing via BootCamp you have to format the BootCamp portion of the drive before Windows will install to it but if you're interested in having Windows on your external Thunderbolt SSD then this is the way.
I usually clean the internal drive for use with Windows if I go all in on Windows and leave no trace of OS X.
That disk is listed along the others in the command "list disk" I choose only the "clean" command for this and then deal with formatting the drive as D inside Windows when everything is set up using the BootCamp 6 drivers.
All this is possible from I understand in that Windows 10 and 8 sees the external Thunderbolt SSD as an internal PCI-e drive and will happily install on to that.