In Windows 10, you can use MakeWinPEMedia to create multiple partitions on a USB drive. Windows 10 v1703 Creators Update allows you to create multiple partitions on a USB drive so that you can have a single USB key with a combination of FAT32 and NTFS partitions. You can also use Disk Management Tool or freeware Bootice to create multiple partitions on external drive.
Using MakeWinPEMedia to create multiple partitions on a USB
To be able to work with USB drives that have multiple partitions, your PC has to be Windows 10, v1703, with the most recent version of the Windows ADK installed.
Windows Assessment and Deployment Kit offers tools to help you customize Windows images for large-scale deployment and to test the quality & performance of the system.
MakeWinPEMedia can format your drive as FAT32 which has a filesize limit of 4GB. Since you can create a USB drive with both FAT32 and NTFS partitions, you can use a single physical drive to boot to Windows PE as well store large custom images.
The following creates two partitions on a USB drive; one 2GB FAT32 partition, and one NTFS partition that uses the rest of the available space on the drive:
select <disk number>
rem === Create the Windows PE partition. ===
create partition primary size=2000
format quick fs=fat32 label="Windows PE"
rem === Create a data partition. ===
create partition primary
format fs=ntfs quick label="Other files"
For more information on how to create a Windows PE (WinPE) bootable USB flash drive or an external USB hard drive visit MSDN here.
Create multiple partitions on external drive with Disk Management
Windows 10 v1703 with ADK installed allows you to partition USB drives too, using the Disk Management Tool. To do this, connect your USB or external drive and from the WinX Menu, open Disk Management and follow the same process as you would for partitioning any disk.
Use Bootice to create multiple partitions on a USB
Incidentally, you can also use a freeware like Bootice to create using the Parts Manage > Re-Partitioning > USB-HDD mode (Multi-Partitions option under the Physical disk tab.
Hope this helps!