I only use PiHole for a couple of months, it wasn’t easy to setup something that worked on my LAN and over internet. Initially I used OpenVPN but was hard to use it with profiles to identify the devices.
Than a tried AdGuard Home, and use it with DoH/DoT server was very simple, and can easily use any profile for each device on LAN or DoH/DoT server.
Can easily search logs and block/allow for each device.
Give it a try, and use it for a couple days.
Not related to selfhosted but OK.
Don’t know about such software for Windows, but if you run Windows on a virtual machine on Linux, like virt-manager/libvirt you can add the USB as a local SSD.
Virt-manager isn’t the most user friendly, but have a lot of features