I know that, during my own move from Windows to Linux, I found that the USB drive tended to lag under heavy read/write operations. I did not experienced that with Linux directly loaded on a SATA SSD. I also had some issues dealing with my storage drive (NVMe SSD) still using an NTFS file system. Once I went full Linux and ext4, it's been nothing but smooth sailing.

As @MagicShel@lemmy.zip pointed out, performance will depend heavily on the generation of USB device and port. I was using a USB 3.1 device and a USB 3.1 port (no idea on the generation). So, speeds were ok-ish. By comparison, SATA 2 can have a transfer rate of 2 GB/s. And while the SSD itself may not have saturated that bandwidth, it almost certainly blew the transfer rate of my USB device out of the water. When I later upgraded to an NVMe drive, things just got better.

Overall, load times from the USB drive is the one place I wouldn't trust testing Linux on USB. It's going to be slower and have lag compared to an SSD. Read/Write performance should be comparable to Windows. Though, taking the precaution of either dual booting or backing up your Windows install can certainly make sense to test things out.