Windows boot

I'm having trouble with booting Windows 10 on my ASRock b450m Pro4 with Kingston USB 3.0 16gb.

I currently have Ubuntu installation and I made new partition for Windows, when I go to boot options I have 3 options, first one is to boot Ubuntu, second to boot Windows 10 from usb and third to boot Windows 10 from usb UEFI.

When I try using UEFI installation process starts and I'm able to come to selecting partition where I get error
`The selected disk has an mbr partition table. On efi systems windows can only be installed to gpt systems`

Than I figured out that I should just run it from USB and it would boot in legacy mode and it should work, but when I try selecting USB it just doesn't work, instead of that it just starts Ubuntu (SSD which is first in booting order).

I checked CMS settings in UEFI and everything is enabled (I didn't change anything), tried it couple of times with moving USB from back ports to front ports, using both USB3.0 and USB2.0 ports and the result is always same.

I read on some places that it might be because of size of USB (that only 8gb works) but I don't have any smaller and want to check if there is maybe something that I'm missing or not doing right.

P.S. I used exactly same USB to boot Ubuntu and it worked perfectly.