1. Use fat32 filesystem in the USB

2. Mount USB and go into USB using file browse or Terminal

3. Make efi and efi/boot folders
mkdir -p efi/boot

4. Go to efi/boot
cd efi/boot

5. Make USB UEFI-bootable
grub-mkimage -o bootx64.efi -p /efi/boot -O x86_64-efi \
fat iso9660 part_gpt part_msdos \
normal boot linux configfile loopback chain \
efifwsetup efi_gop efi_uga \
ls search search_label search_fs_uuid search_fs_file \
gfxterm gfxterm_background gfxterm_menu test all_video loadenv \
exfat ext2 ntfs btrfs hfsplus udf

5. Make a grub.cfg file
nano grub.cfg

An example about the file:

set timeout=10
set color_highlight=black/light-magenta

menuentry 'Boot My own distro from ISO' {
set isofile="/efi/boot/my_own_distro.iso"
loopback loop $isofile
linux (loop)/casper/vmlinuz.efi boot=casper iso-scan/filename=$isofile noprompt noeject quiet splash persistent --
initrd (loop)/casper/initrd.lz
}
submenu Chainloaders' {
menuentry 'Ubuntu' {
chainloader /efi/ubuntu/grubx64.efi
}
menuentry 'Windows' {
chainloader /efi/Microsoft/Boot/bootmgfw.efi
}
menuentry 'Firmware Setup' {
fwsetup
}
}

PS. This must be done into UEFI-computer and the USB does not boot in the Legacy mode (only for UEFI).

WP shows commands wrong, so read To make an UEFI-bootable USB

An example about UEFI-bootable Super Grub2 USB