Linux can boot of a pendrive but I don't think windows likes booting off usb devices.
You may be able to run the game in WINE under linux running off a USB drive though.
I know Ubuntu can be run off a USB Stick (Well the liveCD image can but can't see why if thats possible it wouldnt be possible to get full ubuntu working.) since that's one of the ways of installing it on the Asus EEE
Although it's probably not going to be easy to get both the OS and the Game to run properly.