I think all bits have come together now.
In order to run startup.nsh you need to have UEFI shell. UEFI shell can be either in 1) EFI System Partition (ESP) or 2) in chipset build-in one (I understood it's rare).
What we both tried with virtual environment is something that has built-in UEFI shell.
My laptops have completely clean hard drives i.e. no any ESP hence nothing to run startup.nsh
I created an empty USB with fat32 and UEFI shell as \EFI\Boot\bootx64.efi on it. I put Slitaz USB in one slot and the UEFI shell USB in the other slot and all boots just fine. So one USB boots into UEFI shell and finds the other USB with startup.nsh and runs it in 5 sec.
UEFI shell was downloaded from here: https://github.com/tianocore/edk2/blob/master/ShellBinPkg/UefiShell/X64/Shell.efi?raw=true
This one was quite helpful: https://superuser.com/questions/1057446/how-to-boot-to-uefi-shell?utm_medium=organic&utm_source=google_rich_qa&utm_campaign=google_rich_qa
So, does it make sense to place the UEFI shell renamed as bootx64.efi next to the startup.nsh when making the Slitaz image?