How do I boot from a Windows USB with a Mac?
Solution 1:
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.
Solution 2:
You can in fact boot Windows from a USB drive on a Mac.
I've done this recently with the Windows 10 Technical Preview, but the software I used should work with Windows 7+, but it does have a disclaimer that says Windows 7 does not support USB 3.0, so if you're trying this on a newer Mac, you'd have to use Windows 8 or higher.
I'm booting Windows 10 off of an external USB to SATA hard drive dock. It takes a while for Windows to boot, but it runs okay once it's started. I imagine it'd be much faster if I was running USB 3.0.
I needed another Windows computer to run the utility called "WinToUSB" here is a link to their site: http://www.easyuefi.com/wintousb/
You will need a Windows installer disk or ISO image to create the bootable image.
Do NOT attempt to create or format any of your Mac partitions from within Windows because there is a very high chance you will lose some/all of your Mac data.