Boot from external USB3
When you refer to the two options: windows or efi, I assume each is a label given to separate icons that can appear when you hold down the alt/option key at startup. In this context, the label windows is a legacy term. It means you will be doing a BIOS boot of an operating system or operating system installer.

EFI is obviously an EFI boot. The version of EFI is uncertain. I had an interesting discussion with Rod Smith (of rEFInd fame) over at Ask Ubuntu and he was able to convince me that no Mac's have a UEFI. This includes your early 2015 mac book pro. So if you do an EFI boot and everything works, this just means the kali linux distribution was designed to work with your Mac.

As for the USB2 verses USB3 issue, I suppose kali does have USB3 support for a BIOS boot but, does not for an EFI boot. When using a USB2 flash drive, your Mac's USB3 ports operate in legacy USB2 mode.

Funny thing, I have read here at Ask Different where others claim 2015 Mac's can not do Microsoft Windows operating system BIOS boots. I find it interesting that you can with linux.