Note that Intel is explicitly supporting external GPUs this time with Thunderbolt 3. I don't think that was the case in previous versions. It sounds more likely to happen this cycle, though as you point out it's a small market, so I don't expect it to be cheap.

http://liliputing.com/2015/08/intel-says-thunderbolt-3-will-...

http://www.kitguru.net/components/graphic-cards/anton-shilov...