You probably need to rebuild the image yourself, to add support for NVM, or install necessary kmod-* package, if it's available and build an initramfs with necessary modules.
You do not need an installer, to install an operating system to x86 machine, you can just create ESP and rootfs partitions manually and unpack rootfs onto the partition, booting from some linux-based live USB which supports UEFI and NVMe. The process would be similar to initial installation of Gentoo and other source based distros.
After you have installed OpenWrt, you can use chroot to get to its command line, from which you can install packages via opkg like you normally would. Then you will need to prepare initramfs with the kernel modules, needed to mount NVM ssd, or alternatively you can just use kernel+initramfs, in which case OpenWrt can sit in EFI system partition in one or two files.
Whatever you do, you will need to either rebuild the kernel, or rebuild initramfs to add kernel modules, or just use a kernel from another distribution which was build with support for your storage media and uefi boot, but if you do the latter you'd need to add kernel modules to OpenWrt installation.
Another option is to use kernel without support for NVMe, putting all your config files into initramfs along with other stuff.