Yeb I understand, but why the creation USB tools always try to format it even when it's in FAT32 already?

As what I know, It's because the installation sees the Win PE as a normal OS and not recovery environment, so it doesn't show that options. The only I guess it to burn the iso to the whole USB....

I am very appreciated to your answer, exactly what I need. And yes it works! My computer recognizes both legacy and UEFI mode of the USB, and can boot both (the Sony Storage).
250952

But I wonder...

Can you tell me the procedure to make a bootable usb support both BIOS and UEFI, and give the choice Win10XPE 32 bit and 64 bit?
No need to be too detailed, but a general step and I will do it...