If you wanted to connect your laptop to a desktop GPU, generally, you have to use a Thunderbolt 3-based graphics dock of some kind. However, a mod from Kosin (a China offshoot of Lenovo) has demonstrated that there is another way. Kosin shared a video where one of its employees managed to run an RTX 3090 off a notebook's NVMe M.2 slot, and it works! (via PC Watch.)
Kosin used one of its own laptops, the Ryzen 4600U-powered Air 14, to demonstrate its modification. The modder first removed the M.2 NVMe SSD residing in the notebook, then connected an M.2 to a PCIe adapter cable, allowing the RTX 3090 to communicate with the laptop. Finally, the modder drilled out a slot in the laptop's housing so the cable could run outside of the laptop's chassis.
Surprisingly, performance from the RTX 3090 was perfectly adequate, even with just four PCIe lanes being fed to the card. The system scored 14,008 points in 3DMark TimeSpy: For reference, a standard RTX 3080 paired with a Core i9-9900K gets 15,000 points. So, yes, you lose quite a bit of performance compared to installing the 3090 in a desktop PC, but the score is still quite good considering the notebook's specs (and the downgrade to four PCIe lanes).
If you want to do this yourself, beware that this is a mod and isn't guaranteed to work. However, NVMe based M.2 slots run off pure PCI Express, so theoretically, you can execute this mod with little to no compatibility issues.