I had that issue installing to the internal drive in my laptop. I don't recall exactly what I had to do. But I think it was something with the advanced options to reinstall grub.
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Okay, I was able to find a workaround. I use rEFInd as the boot manager on my everyday laptop so I just installed that onto the boot partition of the thumb drive.
I took out the USB drive, plugged it into my laptop and ran refind-install --usedefault /dev/sdb1
(or whatever the ESP partition is of your thumb drive, and you would have to have refind installed first), then plugged it back into the mini PC again.
I had to disable secure boot, which is par for the course with Linux I guess, and after that refind loaded and seems to be working consistently now.
It would have been nice for the sake of this thread to have found a solution within Grub, but unless someone comes by with a solution, I may just stick with refind for now. I have nothing against Grub, but honestly I have grown to love refind for the degree to which it just. freaking. works.