For some unknown reason, the Windows installer doesn’t let you install to a USB key. Luckily, there’s a simple workaround. It turns out that only the very first step of installation cares about that. So, if you can fool it (say, by running in qemu), you can have a USB key with a Windows install rather than having to dual boot on your hard disk (e.g. if you run Linux and want all that fast in-built SSD space for Linux)

1. Download the Windows Installer: https://www.microsoft.com/en-au/software-download/windows10ISO
2. Start the installer in a VM, with the USB key passed through to the VM as the hard disk (or use a disk image the same size as your USB key for transfer with a utility such as ‘dd’ later). e.g. do:

   qemu-img create -f raw win-installed.img 50G
   
   qemu-system-x86_64 --enable-kvm -m 8G -cdrom Downloads/Win10_1709_English_x64.iso -hda win-installed.img -boot d

3. At the first reboot of the installer, instead of letting it boot, stop the VM. You are going to copy the install at this state to the USB key.
4. Boot from the USB key, go through the rest of the installer. You’re done!