Found it here: BIOS update problems [SOLVED]
I don’t recall the inner workings of the windows bios updater, but I am wondering if it unpacks things into the EFI partition on the primary drive, then executes them from there on reboot? Absent an internal drive that obviously would not work. There have been a lot of threads around the BIOS updaters for various versions, perhaps there’s something in one of them that lays it out more clearly.
Best of luck getting your system updated.