@Hacksolot assuming you're talking about an OS installed in a bootable device (pendrive, external HD, etc) and boot use it in Live Mode, then yes. You need some Linux knowledge, but yes, it's possible.
I didn't actually did this, but if you wanna try here is my suggestion:
install a lightweight Linux Debian-based distro in your USB device in Live Mode (suggestion: bunsenlabs)
install RetroPie using this guide from RetroPie docs (it says Ubuntu but can be used for Debian too): https://retropie.org.uk/docs/RetroPie-Ubuntu-16.04-LTS-x86-Flavor/
done!
Alternatives
@herb_fargus Portable Game Station (not exactly bootable, but it can be in a USB stick and can run on a running Windows machine).