I don't know to what extent this will be useful in your particular case, but for the Z420 a Samsung 950 Pro NVMe drive works fine as a boot / windows drive with a m.2 to PCIe adapter card.
Going for a full install from a USB drive formated with Rufus containing Windows 10 Pro, it was first necessary to have all the compatibility settings in the bios in Legacy mode (there are 3 settings as far as I remember) for the USB drive containing windows isntallation to be recognized.
The NVMe drive shows up in the installation and just prior to Windows installation it is worthwhile to install the Samsung NVMe drivers (best to download them and also have them on the USB drive)
Once Windows is installed and the system reboots it is then necessary to go into the bios again and change all the 3 compatibility options back to UEFI and remove the USB drive and one is good to go.
The system will not boot up from the new drive if the bios settings are not changed back to UEFI mode - it will just hang after post, or if the USB Windows isntallation drive has not been removed it will just be in a loop of trying to install Windows again off the usb drive.
