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The amount of absolutely wrong answers in here is astounding.
NO. PCIE is not plug and play. Moreover, having a dead PCIE device that was previously accepting information, and then suddenly stops, is almost guaranteed to cause a kernel panic on any OS because of an overflowing bus of tons of data that can't just sit there waiting. It's a house of cards at that point. It's also going to possibly harm the physical machine when the power comes back on due to a sudden influx of power from an outside PSU powering up a device not meant for such things.
Why wouldn't instead think of maybe NOT running an insane workload on such a machine with insanely power hungry GPUs, and maybe go for an AMD APU instead? Then you'll get all the things you want.
PCIe is absolutely plug and play. Cards have been PnP since the ISA era. You probably meant hot-plug, but it's hot-pluggable too: https://lwn.net/Articles/767885/
Any buffered data will sit in the buffer, and eventually be dropped. Any data sent to the buffer while the buffer is full will be dropped. I'm not intimately familiar with communicating with GPUs, but I imagine the only buffers are in the GPU driver (which would either handle the removal or crash) or in the application (which would probably not handle the removal and just crash). Buffering is not really where I would expect to see a problem.
That said, a GPU disappearing unexpectedly will probably crash your program, if not your whole OS. Physical damage is unlikely, though I definitely wouldn't recommend connecting two PSUs to one system due to the potential for unexpected... well, potential. Inrush current wouldn't really be my concern, since it would be pulling from the external PSU which should have plenty of capacity (and over-current protection too, I would hope). And it's mostly a concern for AC systems, rarely for DC.
What's wrong with 2 PSUs if both of them are connected to the same ground? I thought multiple PSUs is common in the server space too.