Unfortunately, I don't think this would work.

The answer to where you should plug in is directly into your GPU, as streaming the data from your external GPU to your iGPU will cause data throughput issues as it has to constantly stream data back and forth through the PCIE bus. Even in simple games at low resolutions where that wouldn't be an issue, you'd still be introducing more input lag. That's why connecting your display to your motherboard is usually considered a rookie mistake.

But obviously, if you're outputting from your external GPU, that silicon is still being used while rendering on the iGPU, which I believe would erase any potential power savings.

I think the better solution if you really want to maximize power savings, would be to use a conservative power setting on your main GPU, and do things like limiting your framerate/selecting lower resolutions to reduce your power draw in applications where you don't need the extra grunt. Modern GPUs should be pretty good at minimizing idle power draw.