I have an external NVMe → USB C adapter, was able to verify the SN850 works, gave it a FAT32 format, and indeed it shows up when I try to “Browse” for drivers at this Windows install step. The odd thing is that it doesn’t say which device’s “Media drivers” it needs to allow the installation to finish.
I’m about to try the Ubuntu boot now - aand, it installed on the NVMe drive fine. So, it seems to be Windows-specific. I’m trying the Download Windows tool (I previously downloaded an ISO and used dd to get it on the thumb drive). We’ll see how that works.