Did you figure this out yet? The only thing I can find in the documentation is that you can use an nvme as a storage device. I cannot find anything about booting to it.
I’m just trying to install recalbox to an nvme drive because it’s faster and more reliable than an sd card or usb drive.
I used a Hiren's Boot USB (the new PE version) with etcher portable and the image unzipped. You then use the same process as others have described, but make sure etcher is in "dangerous" mode (or whatever it's called) so it can write to large disks.