Correct, no romex outside nor in conduit. Just buy individual THHN wires from Home Depot and run in conduit.
Dual pole combined GCFI & AFCI breaker will be potentially hard to find and expensive & requires swapping your breaker out. Make sure you are confident in that task (don't just buy any old breaker -- it needs to be listed for use in your panel to pass inspection). Also to be clear, GCFI and AFCI are two different things with different functions. AFCI prevents fires due to bad wiring. GFCI prevents humans from getting shocked. How old is your house? Are other outdoor outlets GFCI protected? Are other breakers AFCI protected?