External GPUs are power hungry monsters.
Even when we can shrink the die sizes needed to accommodate "acceptable" performance, we will still pursue maxing out the available TDP. It is not Moore’s law, it is Blinn’s law.
High-end cards will be at 200 or more Watt range for some time to be.
That leaves us with a lot of heat and a lot of volume to house and cool down not just the GPU, but the PSU that powers that GPU (i.e. a 200W card, needs at least +10-15% extra consumed on the PSU...that small fraction is what the whole MBA might be eating up, and ofc needs also to be dissipated
The whole thing is multiple times the volume of the MBA (probably that of the MBP too), simply because it engineers cannot cool all that in a smaller package. Otherwise all laptops would have hi-power GPUs built in, and would operate them when plugged in the wall regardless of size. The "best" mobile GPUs we have, are limited in the 100W range, and still require the monstrous chassis gaming laptops have.
Thunderbold is a decent solution for GPGPU tasks that are not that bus-limited, and gaming in low resolutions and again, in games that are not that bus limited, have huge textures etc. It is a good start, but still far away, as things progress in parallel: it is not like PCIe, HSA or w/e tech will hold still for Thunderbold to catch up.