Whew! After a weekend of fiddling, I finally have it exactly where I want it. The detail:
The starting point was Chino's suggestion of Duet. That, unfortunately, was a wash - I never was able to create a Duet USB boot disk since it repeatedly failed in the MBR or DBR stages with a variety of USB disks from 60MB to 16GB. However, I soon switched to an followup utility called Clover.
Clover is a Hackintosh tool (apparently) to help you boot MacOS and Windows in parallel. I had no interest in hackintosh, and while Clover is also confusing and has no clear instructions to creating a boot disk, I found a utility called BDU by a certain 'cvad' that downloaded the latest Clover and created my boot disk.
With Clover, and all disks but the NVMe disconnected, I was able to boot (problems with this, but later), and drop down to the EFI Shell. Once there, I was able to use the guide Chino linked to load the NVMe and USB3 Drivers and boot the USB Windows Install stick. This started the Windows 10 install, but there was another wrinkle. I tried to install windows on the NVMe Disk non-desctructively, but that didn't fly. So I had to start diskpart, 'clean' the disk and 'convert gpt' it. After this, Windows installed - and quickly some 7-8 minutes.
[Here, I commited a blunder; I rehooked my previous Windows disk and rebooted. The USB bypassed and booted the old windows. Nevertheless, I copied over all my data (some ~50GB in 15-20 minutes, I think) and rebooted into the NVMe Disk. This is a no go. Not only did windows jettison the files I copied over, it also corrupted windows somehow (Edge/IE wouldn't start, for example). So I had to go back to the first step and reinstall windows like before]
It must be noted that when windows reboots during install, I needed to boot through the USB, drop down to the EFI Shell again, load the NVMe Driver and this time boot through the NVMe SSD (rather than the USB the first time). Since boot is not automated (yet) this is a manual step that does not have a parallel in conventional install.
Once Windows was installed again, I rebooted into the new NVMe Windows and with my old disks hooked back up again, copied over my data again, this time successfully. So my Windows was all good, but my boot was still bad.
Up until now, the USB for some reason wouldn't boot automatically and I had to hit F8 at POST to get the system to boot from the USB. This was the case even with all other drives removed, and boot order set to Removable Device, SCSI Card. I ended up fiddling with USB settings, and setting USB mode to 'Floppy' - the other modes (CDROM, Force Floppy, HDD, etc) wouldn't work - which made the system boot the USB automatically.
Now clover, as I mentioned is a complex animal, and has a lot of junk in it. I removed most of said junk and kept only the NVMe (NVMe is not enabled by default) driver (to which I later added a USB 3 driver in case I want to boot USB and a SATA driver - I need to clone a SATA drive), then fiddled with the config.plist settings in Clover to basically get the correct drive to boot, and boot automatically (I had to get the SSD UUID from mountvol.exe for this step). Note that you will always boot from the Windows EFI partition in Clover, not from the main C drive.
Now all done, the USB Boot drive is a permanent fixture in one of the USB ports of the machine and the machine boots Windows 10 on the SSD automatically, with the USB drive in place. I made a couple of copies of the USB drive just in case too.
Whew (again)! Done and dusted. And yes, it /is/ possible 🙂