For many games, the loading times are not thaaaat different when comparing HDD vs SSD vs NVME. (Depends on how impatient you are tbh.) And it barely affects FPS.
The biggest appeal of NVME/SSD for me is having a snappy OS.
So I would put your rarely played games on a cheap, big HDD and keep your OS and a couple of the most frequent games on the NVME. (In the Steam interface you can easily move the games to a new drive)
I find it to be a much simpler solution than setting up a multi tiered storage system.
Some sources:
https://www.legitreviews.com/game-load-time-benchmarking-shootout-six-ssds-one-hdd_204468
https://www.phoronix.com/review/linux-gaming-disk/3
https://www.pcgamer.com/anthem-load-times-tested-hdd-vs-ssd-vs-nvme/