There is a good article for WinToGo setup on MBP2018, along with this article and my old post for MBP2012, but just good for USB drive only. If you want to do that with a thunderbolt3 drive, several days of rebooting is ahead.
First, WinToUsb won’t list thunderbolt drives, therefore the old ways of imagex/dism and bcdboot to make the bootable install drive is your friend. But Win10 boot setup always fails with mysterious error “Windows setup could not configure to run on this computer’s hardware” during setup spinning interface. Nothing googled directly helps, including the popular “msoobe” command hack. After hours of trials, this post gives the correct steps for disk partitions setup. Actually the first article above mentioned the hack to format with “EFI System Partition”, which will do the same trick to create msr partition automatically, but new windows 10 seems not to create the correct partitions, causing the preparation setup error.
Second, the Windows 1803 version won’t install on thunderbolt3 drive with MBP 2018. It always fails with DMA Access Violation crash blue screen, which is related to storage driver. Since MBP 2018 came out in later half of the year, Windows 1809 version will have the correct thunderbolt3 drivers included.
Third, Windows 10 will finally boot, install, and freeze if boot camp drivers are added into the install media previously. It might be related to the AMD Radeon drivers and ReLive settings app. The answer is to boot setup without add-driver step, which will force to use external mouse and keyboard to continue the setup process, as the built-in keyboard with touch bar and trackpad won’t work without boot camp drivers.
Finally, WinToGo 10 can install and run successfully now. Afterwards, boot camp drivers install might take quite a long time and hang for the USB XHCI controller. Anyway, it doesn’t matter for an unrecognized mass storage device after a forced restart. Everything works with super fast speed including AMD display card, thunderbolt drive and USB devices!