Cluster Resources are used to define everything required for the service to work correctly. The clustering software monitors the availability of everything in the cluster resource and when something become unavailable, a failover to a standby node in the cluster can be initiated.

If you were able to create TEMPDB on a device that is not a cluster resource, it is possible for the resource to fail and since it is not managed within the cluster, when the service is initiated on the standby node, you will not be able to start it. This kinda defeats the purpose of the cluster. This will probably result in another failover back to the first node and on it goes.