x15 R1, can I use WD Black SN850?

Hi @iib22 welcome to this free user to user Alienware laptop discussion forum. This is not Dell Support. 

Users can install up to two M.2 drives. Only one slot is compatible with PCIe4, however, while the other can support up to PCIe3, much like on the Alienware x17 R1. Alienware x15 R1 laptop review: Dell's thinnest UFO has landed - NotebookCheck.net Reviews The PCIe4 card should be installed in the PCIe4 slot, usually designated SSD01. 

The 2TB WD_BLACK SN850 NVMe SSD can be supplied with Western Digital heat sink, but you may want to get another Dell heat sink (from eBay, Amazon, etc,) WD_BLACK™ SN850 NVMe™ SSD PCIe® Gen4 for PC or Laptop | Western Digital  See Data Sheet for With or Without heatsink dimensions. Data Sheet: WD_BLACK SN850 NVMe SSD (westerndigital.com)  See Dell Heat Sink example M.2 2280 SSD NVME Heatsink Cover Thermal Plate For Dell ALIENWARE x15 R1 R2 | eBay 

No -- the WD Black drives with the factory heatsink are physically too large to fit into a notebook system.  They're designed for desktop use.  They're close to 1 cm in depth with the factory heatsink.

Alienware x15 R1 with Base Cover removedAlienware x15 R1 Thermal Shield DP/N 05GDMJ

 Alienware x15 R1 - Removing the M.2 2280 solid-state drive