It took me a matter of minutes to find that people have been adding GPUs to Macs on a Thunderbolt port for years.
You are right, it is possible to use an external enclosure connected via Thunderbolt to add a GPU to a Mac. But those enclosures are expensive, and Thunderbolt isn't exactly designed with this task in mind. The performance you get out of this solution won't be as good as a regular old PC, and you going to spend 3X the cash for worse performance.
Consider that current Macs have Thunderbolt 2, which will give you 20 Gbit/sec of max bandwidth. Compare this to the 8 Gbit/sec per lane on PCIe 3.0 X 16 lanes = 128 GBit/sec bandwidth on a PCIe 3.0 X16 connection, Thunderbolt 2 only gives you 15% of the bandwidth. Surprisingly, Apple is late to the party shipping Thunderbolt 3 (Gigabyte and MSI have been offering it with their Skylake systems for a few months now) but when they do release a Thunderbolt 3 Mac, this will go up to 40 Gbit/sec, which is still only 31% of a PCIe 3.0 X16 link. Note that the PCIe external enclosures will also need to be updated to Thunderbolt 3, which has not happened yet.
Another thing to keep in mind is that on a lot of Macs Apple connects the Thunderbolt controller to the PCH PCIe, not the CPU PCIe, so you also have to count in the X4 DMI link between the PCH and the CPU will add latency and potentially be a bottleneck since all your disk and network access also goes over that X4 link. However, the high end Macs like the 15" Macbook Pro and the Mac Pro do have Thunderbolt connected to CPU PCIe.
Another thing to remember is that the 3D performance on the video drivers for OSX are usually not as optimized as the Windows drivers, there are many stories online about how installing Windows on your Mac boosts gaming performance. Honestly, the Occulus Rift guy is right here... he could have worded it more diplomatically though.