I ran windows 10 from a USB SSD drive for a while and it was ok-ish. Moved the drive from the USB enclosure to the internal m.2 slot and that solved my problems. Performance is actually decent in most of my steam games. These thumb drives are fine for getting you going quick, but not really a long-term solution.
If you complain to Atari about lynx being slow they are probably going tell you to upgrade the memory ram. I think it's a hardware issue on Atari side. They need a another Atari VCS refresh.
I created my own PC Stick using a Samsung USB 3.1 flash drive and the ROM image. Debian is actually pretty snappy. I haven't tried first-person games on it, so I can't comment on how fast that is. It's an interesting divergence, nonetheless.
Kingston thumb drives are known for reliability not for speed. I cloned the usb drive to a ssd and all the speed problems vanished. I use the Debian boot to stream steam games to my big tv.