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Disable secure boot settings. Adjust the boot sequence while connected to ensure the USB boots first. Upon restart, it should install Windows. If not, the USB may not have been set up correctly. Certain USB flash drives might simply not work with this setup. When using a front USB, try the ones behind your PC (unless it's a laptop). Install Windows 10 onto a USB drive using either the built-in tool or RUFUS via an ISO file. My favored approach is using the ISO and Rufus. This method is less prone to errors compared to the creation tool. You can obtain the ISO directly from Microsoft’s site using your phone or by activating it through the browser’s Inspect tool on the Windows 10 page.
I wouldn't alter the USB drive's file format because it might affect compatibility. Verify if legacy support is enabled or disabled in your UEFI settings. Alternatively, consider using another USB drive or testing if another computer can boot from it.