Be careful with unmount/ejecting the USB stick so that all changes have been written out before you pull it out of the machine. It does indeed mean that it is best to completely shutdown the guest OS before you can move it to the other machine. Wait a couple of seconds, then click inside the Window, and select the USB option using the arrow keys on your keyboard. Yes you can run a VM from your USB stick by either VMware Fusion or VMware Workstation or VMware Player. First, right click the USB icon on the bottom right corner of VMware Player, and click Connect (Disconnect from Host).
Make sure your USB drive with a bootable OS is attached. Make sure that USB is enabled, and if it isn’t, click “Customize Hardware”, click the USB Controller device, and check the first two options.
On the final screen, you’ll see the hardware resources automatically allocated for this particular VM. On the next screen, select “Store Virtual Disk as single file”, and allot 5 GB to it, since we will be booting from the USB drive, and not actually doing an install. Specify the name of the VM and the destination where it will be saved. Select Linux as the Guest Operating System, and from the list of versions, select Ubuntu (or if you have a different OS, select it and its version).