Has anybody ever tried this? (Linux on a thumb drive)

Sorry I'm a month late, don't get on here very often.
Ventoy is a multi-boot loader. Install Ventoy to a USB then simply copy your ISOs to the primary folder. Set your BIOS or UEFI to boot from USB before checking the hard drive and you're set. Ventoy will start up and show you every ISO you've copied over. If you're wanting to test drive several distros or if you want to show several distros to someone who's interested in Linux, it's hard to beat this setup. The Ventoy installation is persistent. On mine I've got a few BASH scripts copied to the secondary folder. They're for adding some additional desktop security and some utilities I find useful for certain new installations.
The scripts check to make sure ufw is installed, then enable the firewall. They also offer to install Bleachbit, PortMaster, Privoxy, some of the webext packages such as Privacy Badger and Ublock Origin. I can set up a highly paranoid system for use in homeless shelters, halfway houses and domestic abuse shelters where personal privacy and security are top level needs for clients needing to contact lawyers, doctors, therapists and employment counselors.

Use a good quality thumb drive if thats what you want to use. Cheapies tend to be SLOW and not very reliable for booting an operating system.

Modern computers can be little more involved in getting computer to boot from external drive, usually secure boot has to be turned off in bios, and windows has to be FULLY shut down, not in hibernation. I think some like Ubuntu can even deal with secure boot. Be aware bigger distribution will boot slower and tends to run slower especially on older computer. But Ubuntu can be nice for a newbie as its windows-esque in its big brother attitude. Its based on Debian. Lubuntu is the fastest of the Ubuntu family on older computer, it uses LXQt desktop, its ok, liked it better when it used LXDE. Not officially Ubuntu family but derivative of Ubuntu is Bodhi, its smaller and slick looking. Frankly for Debian based, I like MX, I still daily use older version MX19, it is super stable and just never breaks. Or even straight Debian, though straight Debian assumes you have your big boy pants on and know what you are doing. There are unofficial community Debian "spins" with whichever desktop you want. LXDE is the lightest and fastest. For small fast distribution, Puppy is still around in several flavors and the originator of Puppy, though retired from actual Puppy development has an interesting experimental containerized system called EasyOS. I like EasyOS, just use Etcher or Rufus or dd to write it to thumb drive and you are done. Barry has a subforum on the Puppy forum for EasyOS and he has his own site too.

Yea, think for booting from thumb drive, you will be happiest with either one of the Puppies or else EasyOS. The bigger distributions, its difficult to install it so it keeps settings, mostly designed to be alternative to dvd for installing the distribution in traditional way to internal hard drive.

Easy is a bit different but takes very little time to write it to thumb drive and boot it. I use the linux version of Etcher to write it to thumbdrive. Just stupid simple that way. Rufus is windows only, though might be able to run it in WINE. dd is commandline, and already included in every linux if you are comfortable with commandline. Puppy and EasyOS are designed to run from thumbdrive. I think Barry offers a version dd with gui frontend. Use whatever you are used to.

Oh and as handy as thumbdrives are to carry around, suggest it doesnt cost that much more to get a smaller SSD and use a usb adapter. Sometimes used/refurbished ones are actually cheaper on Ebay than a new thumbdrive. They are usually much faster and more robust. The usb adapter/conversion cable for them is cheap. I recommend at very minimum, getting a 32GB thumbdrive or SSD. Price larger ones too as sometimes just few dollars more will get you lot more capacity.

Yea if you want Ubuntu or one of larger distributions installed standard way, definitely recommend a SSD.