Oh, that's weird. I just suggested the same thing up above with a bunch of extra explanation. I've done this exact thing twice. In that comment I talk about changing some registry settings, but like I said in the comment, I didn't think that actually helped. So I dunno. This was with Windows 10 both times, and both USB devices boot on a laptop.

Cause u need if u are using grub use os-prober that it would add boot manager of windows on the list of grub

I can confirm M.2 to PCIe adapters work for booting Windows. Had both my Linux drive and Windows drive each in a separate one when I used to dual boot. Then I would swap out which adapter was in the computer to switch OS.

I haven't plugged the Windows one in in a loooong time, but wanted to mention the option since it would do what you want.