So, like, Ventoy with persistence?

You don't need to do anything special. Take an NVMe or SSD and put it internally in some PC—ideally the same computer you want to use it on, for driver reasons—then install Windows on it. (Windows won't let you install to a USB device, so you have to put the drive internally in the PC.) Then take it back out, put it in an external enclosure, plug it into USB and it boots right up. (Well, as long as you know how to choose a boot device at startup or make USB a higher priority than your internal drive.)

I just did that on my laptop by taking out the Windows NVMe, putting in a new one for Linux, and then sticking the Windows NVMe in an enclosure.

Obviously, this can't work on a thumb drive, but it's not terribly inconvenient to carry around an enclosure and a cable.

(An LLM told me I should change some registry settings to make loading the USB drivers occur earlier during boot, but that doesn't make much sense. How could it boot enough to load the Registry in order to know to load the USB drivers earlier? It's already booting. But if you try this and have any troubles, I can probably figure out what Registry settings I changed. I've also done this with an M.2 SSD from one PC and booted it from a USB enclosure on a different PC, and I definitely made no registry changes then.)

Since you've edited to clarify, you want WinToUSB.

https://www.easyuefi.com/wintousb/