I suspect this is not the right adapter. It says USB and the price is very low. The page says: “The docking station supports any M.2 drive with SATA and NVME specifications” So, it is not 100% certain whether it supports PCIe.
SSDs can also work with cheaper adapters that support USB. We need PCIe which is only available in true Thunderbolt adapters. They tend to be more expensive.
Please read the post I created for some more details.
How can I connect a Hailo-8/8l to my pc or laptop
Please check all the points I made in the post regarding the connectors and cable.
Try Amazon and search for “Thunderbolt M.2 Orico”. Look for the one that looks like the picture in my post above. There are a few other options from Orico that may also work, but I have not tested it myself. Amazon has a good return policy so you can try another option.