I have installed grub as stand alone boot loader to every format. I even installed grub to a Windows repair flash drive to make it directly boot Linux ISOs as well as the Windows repair to have one flash drive as a mulitple repair tool.
But if you want to use data on drive with Windows you need to use FAT32 or NTFS. NTFS is normally better as it has a journal, but for small devices FAT32 is good but cannot store a file over 4GB if device is larger. With a flash drive a journal may be a disadvantage as that is more writing.
If you use ext4 you can also turn journal off and that is considered now as better than ext2. Some internal advantage of ext4, but do not know details.
But with ext4 it is only compatible with Linux and your have to set ownership & permissions which can be an advantage in limiting use by others or a disadvantage if that other is you on another computer. If you need real protection you can also encrypt it.
This is my 32GB flsah drive.
When I get my UEFI system I hope to do this an make it boot both UEFI & BIOS.
Flash drive to boot in UEFI or BIOS - sudodus
fred@fred-Precise:~$ sudo parted /dev/sde unit s print
[sudo] password for fred:
Disk /dev/sde: 60532992s
Sector size (logical/physical): 512B/512B
Partition Table: gpt
Number Start End Size File system Name Flags
1 40s 976895s 976856s fat32 EFI System boot
2 976896s 978943s 2048s bios_grub
3 978944s 29650943s 28672000s ext4 sys
4 29650944s 60532735s 30881792s ext4 sys