Running GPU via Thunderbolt 3, Any Theoretical Loss in Performance?

I have never used external GPUs in my life, mostly because I've never had the chance. The idea of having an ultraslim laptop that can turn into a powerful machine is very appealing to me. I was wondering, is there any performance loss or inconsistency that we should expect from using external GPU docks as opposed to say, PCIE? I say PCIE because it's the only one I'm familiar with. Tempted to get something like the Zenbook 3 Deluxe or Zenbook Pro and have a GPU dock + TV / Monitor at home for when I need to game