The Dell Wyse 3040 has a broken EFI implementation which requires to
install GRUB into the removable media path aka "fallback device location".
This option is available in the "expert install" mode of the Devuan
Installer.

https://blog.roberthallam.org/2020/05/psa-dell-wyse-3040-uses-fallback-efi-location/

Regards,
JP