UEFI system cannot boot from an NTFS formatted USB stick. We need to format it using FAT32.
Used a new USB disk creation program (https://rufus.akeo.ie) and set it to FAT32 for UEFI and finnaly the tablet booted to the setup. The Windows 10 was formatting the sticks to NTFS.
More infomation about Clean Install of Windows 10 on ThinkPad.