Installing Windows 10 to an External Hard Drive SSD
It seems to be a bug (or feature) in 10.12.2 that macOS will not recognize an external SSD when booting.

I have installed Win10 via WindowsToGo several months ago on an external SSD, when my macOS version is 10.11. Everything was fine when I upgraded to 10.12 and 10.12.1, but at the stage of 10.12.2, the external disk cannot be recognized anymore during booting.

At current no solution is provided by Apple. I suggest that you roll back to 10.12.1 or earlier versions if you are eager to do the installation.

EDIT: I happened to boot the external SSD successfully several times for 10.12.2 by cutting off all the network connections (wireless and ethernet).