Been there done this

Trust me long term your way better off with a outdoor sealed box just
mounted to the brick!

More secure way less work and no moisture issues causing box rusting
over the years.

I put one in the bricks, admittely over 20 years ago and have redone it
for a variety of reasons over the years. Mostly moisture leaking
inside. I finally left a opening at the bottom so any water that gets
in has a easy way out.

The surface monunted boxes have NEVER had a problem, and some are in
nearly as long.