I got it working. I had to enable boot legacy option roms in the BIOS. Tested on both mbr and gpt method. Also I think my main pc had some corrupt thing as I did a fresh install and everything started working again. Now I just need to somehow install win10 drivers into the system.
I updated first post - I added a link to my Macrium ISO based on WinPE 3.1 with UEFI, NVMe and USB3 support.
I updated the script mbr.cmd - now you can restore the system from the .mrimg image to the OS partition of any size: Without it, after the restart, there was an error 225:
I made a new guide where I use install.wim + wimlib-imagex.exe instead of Macrium. All news will be in that topic: WinXP 64-bit on a modern PC (ISO boot.wim + install.wim)