This approach will be simpler for any other ISO image like Ubuntu or CentOS, so there’s a separate Steps 3-5 for them at the end of the post.
Since it’s possible to boot and install Windows 10 from USB, that’s what I decided to do: download Window 10 ISO and burn it one of the USB sticks I have. I needed to reinstall one of my Windows PCs at home recently, and realised that I only have Windows 7 DVDs, but no Windows 10s.