The "EFI Boot" label along with the external drive icon means /EFI/BOOT/BOOTX64.EFI
file was found on a volume on the flash drive. If selected, the firmware will EFI boot and execute this file.
The "Windows" label along with the Windows icon, badged with the internal drive icon, means the firmware detected the ability to BIOS boot from the internal drive. If selected, the firmware will BIOS boot by loading the MBR (the first sector on the drive) into memory and executing the software on the loaded sector. The firmware does nothing to actually determined if Windows software is installed on the Mac or flash drive.
Usually, for a Linux install on a MacBook Air 2013, "EFI Boot" would be selected.
With Linux, either selection usually results in the Mac firmware bootloader booting to GRUB, which is also as bootloader.