Hello there,
Sorry for the late reply. I am in the same situation: Alienware 18, same affordable adapter from Aliexpress. I managed to make it work but with issues. The steps were these:
Previosly:
1) I Prepared a Kingston USB 3.0 16GB with REFIND. See details here: https://www.youtube.com/watch?v=XT-Sq_UscQE
2) A USB always connected to the laptop is a pretty annoying idea to me (I suffer TOC) so I decided to clone the REFIND Kingston 16 GB USB to a spare mSATA drive (Samsung 500 GB) using EaseUS Disk Copy Pro (use this free key to activate it L55YI-NJTIK-K5718-3Z3GM-4GB33)
3) Create in a different USB whatever version of Windows 10 you want to clean install.
After all that:
1) Downgrade to A12 OEM Dell BIOS ( I was in A15, the latest for the model)
2) Install unlocked BIOS A12 for Alienware 18
3) Open your laptop and install the GTX 1070 (Left MXM bay) and the NVME adapter with a Samsung Pro NvME 4 1TB (Right MXM bay)
4) Close and REMOVE (this is important) 2 RAM modules if you have 32GB as me. Otherwise installation files copy will fail at 11%.
5) Now close, insert the CLONED mSATA (replacemente of the REFIND pendrive) and close the machine.
Finally:
1) Start, go to BIOS, put it in SG mode, save changes, power off.
2) Insert the Win10 Install USB and let it roll. Follow the steps as usual, and you'll be done in a heartbeat.
3) After that, REMOVE the letter of the mSATA drive (so it becomes invisible to your TOC and mine).
4) Restart and your Alienware 18 will boot from the NvME m.2 in the adapter.
5) Now, to put in operation the nVIDIA GTX 1070 read here: https://notebooktalk.net/topic/1300-how-do-i-update-to-a-nvidia-gtx-1070/
Pros:
Very speedy system indeed.
Cons:
I couldn't install Windows updates...not a single one. All all them failded. And system gives some BSOD once in a while (specially if you add the RAM modules you removed initially
I hope my process be helpful for anyone who needs it.
Thanks for reading.