On some devices windows puts itself first in the boot order. I've seen this on some HP devices.

Setting a BIOS/UEFI password might help (But doesn't always). If that does not work on your computer, you could try replacing the windows bootloader with grub as the default bootloader in a weird windows menu. (I don't remember exactly how I did it. You should search for something like that on the internet.)

I've seen it on several phones in the EU, but I don't know about NA.

If you have root access, you could search for the files and copy them to your internal storage.

The Proton VPN app is the only one included in the normal F-Droid repo. I don't know about any other repos for the other apps.

edit: typo

If you have a PCI-Express slot available, you could also buy a Nvme to PCIE adapter. Many aren't expensive and work quite well (I use one to have a Nvme drive in an old computer). However depending on the BIOS/UEFI booting from an Nvme doesn't work.