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Tested on OpenBSD 6.3
Turn ThinkPad on and press F1 to enter Setup.
Select Security > I/O Ports, set Bluetooth and Fingerprint Reader to Disabled. These devices are not supported by OpenBSD. Disable other devices you don't use.
Select Security > Secure Boot, set Secure Boot to Disabled.
Select Startup > Boot, set Boot Priority Order to:
USB HDD, then NVMe0 ....
Select Startup, set UEFI/Legacy Boot to UEFI Only.
Press F10 to save changes and reboot.