I want to install Kali to a removable disk (USB stick or USB external disk) without changing the MBR of the single hdd inside my Dell optiplex 960. So what I did:

Downloaded and made a install usb (not live). Let's say it USB-A.
Booted from USB-A with selecting it from BIOS and made the installation of Kali in the other USB (lets say it USB-B).
All gone ok, installation finished and asked me for GRUB install. I choose to install it in the USB-B (as I don't want to put it in the hdd.

The problem is that the system then, cannot boot to Kali if i choose to boot from usb in BIOS (I removed of course the USB-A).

Any ideas? What I'm doing wrong?