Boot Camp: "no bootable device found" when booting from DVD
Turns out when I connected the DVD drive directly to the Mac mini it could boot with no problems.

Apparently Thunderbolt cannot be used for booting, at least not for non-network booting.

Note that I also tried to let Boot Camp Assistant create a bootable USB stick which utterly failed and took hours to do so. Safest bet appears to be a bootable DVD and a DVD drive connected directly to the Mac.