STM32 with External QSPI Flash & SDRAM execution

Generally one needs code to bring up the external interfaces, this normally comes in the form of a small loader you debug into initially, or a debug script that brings up the hardware, ie RCC, GPIO, QSPI, FMC, etc.

That way the MCU just accesses the memories in way that the debugger simply uses.

Debug scripts in Keil are a bit convoluted, given the complexity of the interfaces and bring-up expectations. I'd probably go with the loader method, or partition the code, so I could break-point in Internal FLASH at a point everything was up, and step in from there.

CMSIS typically expects SystemInit() to do ALL this prior to the C runtime initializing, and jumping to main().

CubeMX/HAL seems to be more backassward, and does this type of initialization early in main(), which is too late. Thus having a staged load, where you have a simple app in FLASH, and then transfer control to an app in QSPI, or unpacked / loaded into SDRAM.