Bootcamp on an external SSD while unintentional interrupt!
I wonder what really happens when my external SSD (with Windows
  installed on it using Bootcamp = Windows To Go) is disconnected while
  being booted to Windows.


What happens is the exact same thing if you disconnect an internal drive while booting - you potentially corrupt your system files crashing that boot volume.

Since you have an internal drive that you didn't boot from, it wouldn't be affected.

Wondering (curiosity) is good.  Set up a test (don't do with live data or a machine you depend on) and test out your scenario.