This is actually quite easy to do:
Windows 10:
- Boot macOS first and format the Windows SSD in Disk Utility:
- Name: Anything
- Format: ExFAT
- Scheme: GUID Partition Map
- Shutdown the computer
- Physically disconnect all macOS SSDs -- yes we have to do this
- Create USB install disk for Windows 10 using Windows "Media Creation Tool"
- Boot the USB install disk and follow the installation Wizard
Windows 11:
- Boot macOS first and format the Windows SSD in Disk Utility:
- Name: Anything
- Format: ExFAT
- Scheme: GUID Partition Map
- Create USB install disk for Windows 11 using Windows "Media Creation Tool"
- Boot the USB install disk and follow the installation Wizard
- When you reach the screen that asks which disk to install Windows onto, be sure to select the ExFAT disk
- To be 100% safe, you can also shutdown the computer and physically disconnect all macOS disks (optional in Windows 11, but necessary in Windows 10)
When Windows is installed, reconnect macOS disks and go to
BIOS Setup -> Boot section. Then change Boot Priority #1 to the OpenCore disk.