Yo.
had the same problems with Clover not seeing my Windows 10 USB installer but I approached another workaround, I think it's faster if you have a second computer that reads NVME m.2 (via adapter if needed)
What I did was I installed the NVME SSD on another computer and booted up the Windows 10 USB stick to run the typical install.
After Windows writes its install kit and all that jazz there's a restart(before booting the copied kit located on your drive).
During this stage, I just manually shut down the PC when doing bios post during the restart process and put the NVME SSD drive back into my HP Z800.
Went into Clover GUI and simply selected WINDOWS EFI boot (i think that's what it was called...was the first choice on the left :) )
Windows then just started installing by itself normally.
Two days later , all is working fine ! Booting sweet NVME into windowzzzzzz 10
Hope this helps anyone that's trying the same thing as us!
Cheers
RE: Load Win10 on NVME/PCI-e on HP Z800