With the price of Apple storage this would be a great idea. If it’s just cache, the fallback if external cache is chosen but is not present (could happen) could be to create a temporary cache for the session, which is deleted when Nitro is closed.
The other self-inflicted wound to look out for would be to make sure that the external disk is fast enough. Nitro could run a mini-test to make sure it is before setting cache to an external disk.