How to Encrypt a Windows To Go USB key which has a VHDX

You seem to confuse windows to go and virtualization. Win2go does not use Virtual disks.

I am not confused.
The file I have is a VHDX on a USB.

Encrypt in the OS

Windows to go uses vhdx? That is news to me. Windows to go would be encrypted as any other normal installation. You need to disable the need for a TPM chip, first, however.

Is this pro or enterprise?

Reviewing your other questions, I guess you followed https://www.techspot.com/article/1751-windows-to-go/  to create a portable windows and did not use the built-into-windows windows2go creator (that requires an enterprise license AND does NOT use VHDX). One of the options mentioned involved VHDX.

So you should again be reminded of licensing. Windows to go requires an enterprise license. The WinToUSB creator himself writes:

Sorry, only Volume License can activate all computers, this is a limitation of Microsoft.
WinToUSB just a tool to help our customers to make a Windows To Go drive easily, we cannot help you to activate Windows, it is not legal. WinToUSB focuses primarily on enterprise users, and free for all non-commercial users, and enterprise users typically have Volume License.

If you still decide to use it and you want it bitlocked, read their FAQ:
https://www.easyuefi.com/bitlocker-anywhere/resource/enable-bitlocker-on-windows-to-go-drive.html 

The Windows on the USB where the VHDX resides is a paid for Windows 10 Pro licence.  It was not obtained illegally, it was purchased.

Start up Windows to Go, and Enable BitLocker in the OS.

You are then encrypted.

Nobody can then decrypt your data on Windows to Go, Flash Drive if they find or steal it.

"Arrgh" - you keep repeating yourself while you don't seem to care for any hints given. Look at what I linked. You may not use that system like a portable device anywhere you want, it is illegal.

McKnife, I am not sure I understand what you are suggesting at this point.
In my previous question regarding Installing Windows 10 to go from an external device and boot on it from any computer

Your answer was: 
"Yes, the question is "why virtualize at all".
You could use windows2go, which is a portable, USB based installation. It's not as simple as to start setup and install to an external device, though. You would need special hardware. I could recommend some if you are interested."

So are you saying that if one uses Windows 2 Go to install a legally paid for Windows 10 Pro operation system to an external USB key and then uses that to boot from any computer, that it is illegal now?