Yes, this is the most convenient method, but for some reason, using Alt and selecting the flash drive wouldn't start the Windows installation at all.
Then I took a different approach: Windows 10 with all the Bootcamp drivers was installed on the Apple SSD. I used Rufus to create a bootable USB drive with Windows 11.
Since I wanted Windows on an external drive, I disabled Secure Boot and enabled access from external drives.
Use Startup Security Utility to make sure that your Mac always starts up from your designated startup disk, and always from a legitimate, trusted operating system.
support.apple.com
Then, I cloned it from Windows 10 to the external SSD using WintoUSB. I logged into the cloned Windows 10, opened the bootable USB drive in File Explorer, and ran the Windows 11 .exe file.