Thunderbolt allows PCIe tunneling, but it has some overhead over raw PCIe. That's why Thunderbolt eGPU setups don't perform as well as plugging the GPU directly into a PCIe slot.
> USB is USB
Until you get to USB4, when USB 4 supports Thunderbolt 4.
> USB 4 supports Thunderbolt 4
It's the opposite! I hate to get into it as I saw the USB naming argument pretty thoroughly enumerated in the comments here already, but the pedantic interpretation is "Thunderbolt 4 is a superset of USB4 which requires implementation of the USB4 PCIe tunneling protocol which is an evolution of the Thunderbolt 3 PCIe tunneling protocol."
From the standpoint of USB-IF a "USB4" host doesn't need to support PCIe tunneling, but Microsoft also (wisely, IMO) put a wrench into this classic USB confusion nightmare by requiring "USB4" ports to support PCIe tunneling for Windows Logo.
The bigger factor is probably that PCI-e tunnelling at most a ×4 link, while when you plug a GPU in you are generally doing so into a ×16 or at least ×8 slot, and very few GPUs target ×4.