In this case even though I can't give you a certain anwser, you may try this:
Since a classical way of dual-boot is "Ubuntu alongside Windows" but not "Windows alongside Ubuntu", I strongly suggest physically unmounting your Ubuntu HD/SSD first before you install windows on the caddy ssd. Why? Since your motherboard normally will automatically assign your Ubuntu disk as primary disk (say /dev/sda), so despite you want to install Windows on caddy SSD (say /dev/sdb), it may overwrite boot partition on your /dev/sda, which leads to your ubuntu unbootable. So, by physically removing your /dev/sda, since you only have one ssd on your caddy on your motherboard, windows installer can now assign its own boot partition and install everything it needs over /dev/sdb. Once your done, remount your ubuntu disk, boot into your ubuntu and in terminal type sudo update-grub , if it detects windows boot file, then I think you're good to have dual-boot.