The closest things to that are XBoot, YUMI or WinSetupFromUSB. They allow you to have one boot USB with a bunch of .iso images on it. MultiBootUSB and UNetbootin also run in Linux
Alternately there are the preinstallation environment type bootable Windows (which is essentially like a portable Windows) such as Hiren's BootCD or its predecessor BartPE. These come with a selection of regular Windows utilities and tools, and you can add your own such as Prime95. Just remember the preinstallation environment can only run for 72 hours so any memory test cannot run longer than that.