Do MacBook Pro compatible Thunderbolt external GPUs work with Boot Camp?
Yes, in general, external GPUs work with Boot Camp just fine.

In the specific case, you need to ensure that you have Windows drivers for your eGPU and that your enclosure is supported by Boot Camp. Mostly this is not a problem in practice.

Note that it might require a bit of fiddling to get this working in some cases. For example note that it might not work if you plug in the eGPU on the left-hand-side Thunderbolt ports on the MBP, but work perfectly fine on when plugged in to the right-hand-side Thunderbolt ports (or vice versa).

You can find a list of user guides for setting this up with various GPUs and enclosures: eGPU.io - User Implementation Guides

Here's a nice guide that details some of the "fiddling" that may be necessary: eGPU.io - Boot Camp eGPU Setup Guide for Thunderbolt 3 MacBook Pro