I’ve not tried MBR1… but: you can indeed boot Windows 7 and Windows 8 (64-bit versions) in EFI mode off of a Thunderbolt-connected disk. I have a handful of the Buffalo Ministation Thunderbolt2 drives with the original, slow 5400 rpm hard drives replaced with various SSDs, and they work wonderfully3. You can boot off of them by pressing Option during the chime at bootup, and they show as an orange-colored "EFI Disk" in the selection options.
Now, the trick is getting Windows installed on the disk in EFI mode, because when you stated that "the EFI version of Windows doesn't seem to be compatible with Apple's EFI implementation," I assume that means (like me), you tried, and it just refused to install. Well, to my knowledge, that's correct — however, the only part that isn't 'compatible' is the install process — whatever Windows tries to do to the EFI partition just before it goes to reboot doesn't work out right.
Solution to the rescue: install VMware Fusion on your Mac (even the trial will do) and use Vijay Pandurangan’s blog post to help you mount your external Thunderbolt drive directly to a new VM. Pay special attention to the comment at the bottom of the post: Hajo makes it much, much easier.
Partition the drive as GPT with OS X, and/or install an extra copy of OS X on the Thunderbolt disk first (if you wish) and leave free space for Windows. If you’re not planning to have a spare copy of OS X to boot from this drive, leave all the space blank (don’t partition beyond the EFI partition OS X will initialize with GPT).
Set the VM to boot with EFI, and install Windows 7 or Windows 8 (has to be a 64-bit flavor to support EFI) directly to the disk. Now, once Windows has gone through its setup process, and it counts down for a restart, shut the VM down. That’s right - you're done with Fusion4,5, and you can go straight to booting from your new drive. Seriously. Press Option on boot, and you will indeed see "EFI Boot" as an option, you can choose it, and Windows on Thunderbolt you will have.
I don't expect you would have any issue booting from any other standard Thunderbolt drive either, especially if it is an AHCI SATA drive like the Buffalo.
While I’m fairly confident that you could get plain-old MBR-based Boot Camp to work, why would you? EFI is the future, and once you go through the process, you can boot your Thunderbolt Windows disk from just about any new Mac5.
1 I haven't had the need for it, yet. There isn't an OS, or utility I've needed to run on my Macs that doesn't have EFI support, and I have an aversion to looking back and strongly feel MBR is looking back — like 1983 called, and wants its 10MB MFM hard drive back, back.
2 The original disk worked fine too, but gaaah! so sloooww.
3 Brian Klug wrote a really excellent review on this particular drive on AnandTech, and that's what convinced me to buy it. It's a beautiful piece of equipment, with fit-and-finish like Apple, comes with both a Thunderbolt and USB 3 connector and cables! to match. Yes, the included drive is slow as all get out, but you can replace it with just about any 2.5" HDD or SSD of your choosing. Just make sure you have a hair dryer.
4 Unless, you're not. I use both interchangeably. You can boot directly into Windows 8 on hardware, and you can boot into it from Fusion using this configuration when the need strikes you, like you're working on something, don’t want to reboot, but need to open a .PST file in Outlook 2013… for instance.
5 Windows licensing issues notwithstanding; you’re going to have to buy a copy of Windows for every machine you want to boot it on for long-term use in order to not get black backgrounds and "this copy is not genuine" type errors.