How do I boot from a Windows USB with a Mac?
Boot Camp has to emulate a BIOS system, as Windows requires this to run.  Apple uses something called the bless tool in order to instruct EFI (which Macs are based on) to activate this BIOS system.

However, if I recall correctly, emulation of BIOS is not supported on Mac for any device that is not attached via a SATA connection (ie. internal drive, DVD drive).  So, I believe that you cannot boot from your USB key.

If you want, you could install an alternative bootloader on your Mac that would allow you to do this.  See this post for more info.