Maybe you're using an older device. But W10M supports USB-OTG. I use it on a daily basis with my 950 and Idol 4S. Mainly use it to transfer files b/w devices via a USB thumb drive.
I do miss USB cellular tethering when I had my iPhone. It was jailbroken and I used the app MyWi which allows for tethering without paying your carrier to enable it. Could use WiFi, Bluetooth, and USB to tether, was really nice because it charged my phone at the same time.
Recently used interop tools to allow tethering for free on my 950. Love W10M's mobile hotspot feature compared to iOS, works so much better in my experience.