How do I add UEFI entries to boot any USB device?

My stupid Lenovo "Thinkpad" UEFI doesnt have a real F12 devices menu.

It just shows registered UEFI targets that can be booted.

This is pretty catastrophic, somehow I got Fedora and Windows installed, but thats it. If something breaks, I am in trouble. I cant do a memtest86 even though I think my RAM is faulty.

So in Linux, is there a way to add an UEFI entry to boot just any USB stick? Or to boot a specific one, like with Ventoy on it?

Thanks!