How can I boot a live system iso on a partition of an USB drive

I am a linux and windows user, and I'm going to build up a USB drive(/dev/sda, got 3 partition already) which contains a windows PE and a linux livecd. I have got two iso files, and I'm trying a new way: dd them into two partitions:

sudo dd if=kali-live.iso of=/dev/sda2sudo dd if=winPE.iso of=/dev/sda3

and I have just installed grub2 on my USB drive by following the Arch wiki:

sudo mount /dev/sda1 /mnt/mobilesudo grub-install --target=x86_64-efi --removable --boot-directory=/mnt/mobile/boot --efi-directory=/mnt/mobile

I'm showing what my USB drive like in GParted:

my USB drive like

and then, how should I config the file /mnt/mobile/boot/grub/grub.cfg to boot them? I have not got any idea from the web, including that arch wiki page.

For each or the iso files, if I just do: dd if=xxx.iso of=/dev/sda and it will normally boot.

Note this is not what I am asking:

• make a filesystem on /dev/sda2 and put a iso file into that filesystem. That's easy to boot.

I've not found amy page to solve my question.

I know someone have done that, but I do not know how to contact with. I'm gonna to try that way, which means one ISO file allocating one partition.

Please forgive me if wrong language expression occurs, because my native language is not English. I'll apologize if this question is not appropriate here and I'm just a freshman here.