Problem installing Windows/Linux in one USB

[michaelbr]

First of all, I'd like to thank all people involved with this project/forum for your hard work and dedication. I'm new user, made a USB stick in Linux with Windows 8.1 and MX Linux ISO, no problem preparing the USB, but when I tried to run it, Linux ran OK, but Windows gave me an error: 

Code:

No bootfile found for UEFI!
Maybe the image does not support X64 UEFI.

I'm new to this app, I have the following questions:
1) Is it possible for have 1 USB with Windows + Linux?
2) If it's possible, what I'm doing wrong to have this error?
My installation:
OS: MX Linux 19.3
ISO: Windows 8.1, MX Linux 19.3
USB: Sandisk 16G
ps: during USB install, it did not ask me if I want to use MBR/UEFI (I believe it showed MBR), is it possible to choose MBR/UEFI?

[Premiere]

You can't install an OS on the same flash drive(its not easy) but you can boot to these
MXLinux.ISO.
Windows.VHD
YOU need to make sure your drives first partition is reformat to NTFS with a cluster size of 2048.
And install the VHD plugin file link in the documents section. And directions place in ventoy folder on second partition.

[Midas]

Ventoy defaults to MBR style setup -- systems requiring (or installed under) UEFI(/GPT) will possibly fail: https://www.ventoy.net/en/doc_mbr_vs_gpt.html.

[michaelbr]

You can't install an OS on the same flash drive(its not easy) but you can boot to these
MXLinux.ISO.
Windows.VHD
YOU need to make sure your drives first partition is reformat to NTFS  with a cluster size of 2048.
And install the VHD plugin file link in the documents section. And directions place in ventoy folder on second partition.

Thanks for your reply, I'm not trying to install an OS on a flash drive, I'm trying to put different types of OS in the same drive (Linux & Windows), when I tried to boot to install Windows on my HD from my USB, it gave me an error.