... I suspect the best solution is going to be TB4/USB4 via an add-in card and some sort of external enclosure. There is theoretically a Lenovo TB card and it's mentioned in the BIOS...
2 years ago, I tried to install in the M920q (one month) the recommended TBT3 card
Thunderbolt Card 01AJ968 (€190.29) I ended up replacing the MB (warranty)
and returning the card to the vendor (LenovoPartsUK).
TBT card = not recommended.
It is not possible to install any other card on the Tiny than the one dedicated to the respective Lenovo model.
(Compatibility: BIOS; DP signal; TBT header; PCI riser).
The solution may be a PCIe 3.0 ×4 card (most Tiny) with an Oculink port.
Simple because it transmits neither clock nor power signals, only data.
SFF-8612 has both ×4 and ×8 connectors and cables
OCuLink-1 on PCIe 3.0 ×4 transfers up to 3.9 GB/sec.
OCuLink-2 on PCIe 4.0 ×8 supports up to 16 GB/sec.
Provides data transfer speeds higher than: eSATA | USB 3.1 v2 | Tbd 4
Disks; GPU; NIC; DAS can be connected via OCuLink
...the WiFi card slot can support a 2.5GbE NIC and realistically the PCIe slot up to 4x 2.5GbE or 4x 1GbE, or 2x 10GbE. ...
BTW WiFi slot has PCI 3.0 ×1 this equates to 25% of the throughput of PCI 3.0 ×4. Less than 1 GB/s.
Means significantly reduced transfer of both connected
drives (1TB good for backups only)
And network cards to 1 GB/sec.