I listened to Mike Cruz from Nikon on an Adorama live stream, and this question came up. He seemed to say that most video options would not be possible, and the others on the panel implied that the USB-C port on the Z8 wouldn't be able to keep up with the data transfer rate.
If the port is USB 3.0 speed, so 5Gbit/second, then the max
theoretical transfer speed is 640Mbytes/second. This is much slower than a lot of the higher end CFx cards that have minimum sustained write speeds of say 1400Mbytes/second like the
ProGrade Cobalt .
That said if you're looking to shoot to an NVMe SSD,
follow this thread on here about people who have bought NVMe to CFexpress adapters and have them work with their cameras. If you take the memory card door off (or just leave it open) you wouldn't have to get a short 2230 M.2 SSD, you could (potentially) use the more common 2280 M.2 form factor. Just be careful with something sticking out of your camera if you're moving it around.