My guess is that the best way to do this is to install Linux (e.g. Ubuntu 16.04) to a USB drive and make it bootable.
Then boot into Linux from that USB stick, and install Retropie following the instructions on the RetroPie website for x86/64 Ubuntu.
When you want to enter the world of RetroPie, simply boot the USB stick from the computer UEFI/BIOS boot menu.
I imagine that you'll want to use a fairly large USB stick to hold all the ROMs you wish to use.
64GB or even 128GB would almost certainly get you the bulk of the decent emulators.