Linux

I have basically the same laptop (it's an E16, but with the same CPU - it's just the 16-inch version of your laptop). Make sure you press enter, press F1 to go into BIOS, then go into Security > Secure Boot and enable "Allow Microsoft 3rd Party CA". That worked like a charm for me.

If you're still having problems, try writing down the steps you have taken (down to the key combinations; some pictures would be nice as well). I should have all the same settings menus.

Don't worry, though, you've made a good choice; I've been loving my Thinkpad E16.

What's on the USB? Are you sure it's properly formatted for EFI booting? Did you make sure it it's actually working when plugged in on another machine?

did you try and press F1 at the logo screen after power on and adjust settings in the UEFI BIOS Config, Security and Startup menus?

Some uefi set ups have usb boot disabled by default. It may be worth having a poke around and seeing if yours does.

I suggest a few more things:

Try a different brand usb. Different motherboards sometimes don't support some usb brands. In fact, a Lenovo server I rebuilt refused to boot off certain usbs.

Some motherboards don't initialise boot off some usb ports. Sometimes the additional ports are on another controller and initialise too slow.

Just try a straight working Ubuntu live boot usb to remove any ventoy from equation. Ubuntu has real signed uefi (and no shim) granted by Microsoft. I think that's how it works, uefi is a mess.

Try to start isolating all the different factors, and there could be more. It doesn't necessarily mean anything definitive if it works on another machine.