You can definitely install Windows to an SD card, but the speed issue is iffy.
SD cards, in general, are actually incredibly slow. Hard disks write at around 70-90MB/s. The Class number on an SD card? that's the minimum sustained write speed in MB/s, while the card will typically achieve a little higher. So, a Class 8 SD card (that's a nice one) is probably around 20% the write speed of a computer hard disk.
But wait... I thought solid state was supposed to be faster!
Well, depends on how you measure it. That SD card features instantaneous seeking, meaning that while your hard disk has to send metal arms panning back and forth to physically look for data, the SD card can just instantly retrieve any given address. This makes repetitive, small operations much faster, and it's why SSDs are so exciting.
The real trouble is that SD cards are built to be small, physically durable, and cheap. Not to be fast. This means that they have relatively low-end flash storage in them. A solid-state drive is capable of at competing with a hard disk for practical speed (solidly beating in many cases), but only at a much higher price because of the higher-grade flash storage necessary to achieve comparable speeds.
SD vs. SSD? SSD wins easily.
SD vs. USB? I believe good USB drives are usually somewhat faster, because of the less restrictive physical format.
Additionally, SD cards are much less durable to write-cycles than hard disks, meaning that an SD card serving an operating system may fail very quickly due to the very large number of write cycles incurred. To minimize this, be sure to disable the page file, indexing service, and anything else you can think of that causes a lot of background writes.