You’ll want the bootloader on /dev/sdb.
Depending on your machine, it may not be possible, or you may need to
change the system configuration to enable booting from external USB.
Again, this (and the use of a sys-usb) will entirely depend on how your
machine is configured. If you have only 1 USB controller, (controller
not port), then you wont be able to use a sys-usb.
In any case, the controller for the port you will be booting from will
have to be attached to dom0, and any devices you attach to it will be
attached to dom0. This is a security risk