What type of connection is the external drive? My external USB 3.0 drive is actually 15% faster than my internal SATA 3.(Regular disk drives don't come anywhere near to maxing out SATA 2 so the disk is all important with these newer techs). On that note, what kind of external drive are you using? Even if your connection speed it good you wouldn't want to be gaming off a WD Green or equivalent 5900RPM drive. Not to mention how such drives are not meant to be running constantly(like they do while gaming.) Many externals are made for backup purposes only, heat and reduced reliability are concerns when using them heavily and often.
Also, do you use mods? The game itself loads up in 1-2 mins for me which is fine but it takes up to 7 minutes to load all the mods and enter the game which is a little annoying.(There apparently is a bug where it redownloads the mods each time you play, I'm uncertain if it has been fixed.)