I think it was called RMPrep or something, a program which would make your USB Multi-bootable.
It was as simple as copy pasting the ISO's of the OS into their respective folders.
After that, you just edit one file (not sure which) to tell it to point to the different ISO's.
There was also a lot of guides on their website, it's been a while since I last did that... I haven't tried that combination before (Windows + Linux) but it should be possible, it piqued my interest, gonna test it out