I am using OMV as server with some docker container as Adguard, jdownloader, nextcloud, home assistant.
Three dockers are not that much. The only one in your list that give me pause is jdownloader. If you could configure jdownloader to use one of your data disks (for file storage of downloaded files) you'd probably be OK. Further, note that OMV will allow you to run dockers from a data drive. If you do that, you'd be fine.
I thought that USB pendrive could be nice because we can easily backup the entire USB stick or have several to test some stuff and easily come back to the last OMV backup if there is a problem.
Yep, this is the best reason for using flashdrives - they're easy to clone. The recent issue with docker-ce is a great example. Do an update, run into a problem,, simply fall back to the cloned backup until the issue is sorted out.
Is it possible to do that with two different drive, one sata drive for the nominal setup, and one USB stick to test, and transfert OMV os between them if the USB stick configuration is working?
Yes, but it gets a bit more complicated. There's a backup plugin that copies the boot drive to a shared folder but I haven't used it. In the kernel plugin, there's clonezilla. Clonezilla will copy between two different devices but using clonezilla requires a monitor to be hooked up.
If you want to go this route, cloning between an internal and an external device, it might pay to learn more about-> dd so you can do it on the command line
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The easiest route, in my opinion, is to move your dockers to a data disk and use thumbdrives.