I would choose the Erase Disk option using your WD nvme drive. That should fully reformat the drive for use. I installed Kubuntu on an external ssd just over a week ago. Using it to run my desktop system, and liking it for the most part. Want to make a full switch if I can resolve a couple issues. Hope it goes well for you!
Installing on the second drive (your Western Digital nvme drive) should leave Windows intact on the first drive. You’ll have to go into Bios setup when you restart, then pick the WD drive to be prior to the drive with Windows on it in the boot order.