Hi Nilay,
I just discovered a curious thing with the Precision 5520 series.
First, you have to activate the support for USB-C adaptors in the BIOS in the Thunderbolt section.
This gives you TWO devices under the Legacy Boot options.
And guess what - if you choose USB NIC, PXE won't start and you get an error message saying that your device could not be initialized.
But if you choose the 2nd option - USB storage - then PXE will work.