If you want to use a custom partition layout, you should select the "Keep the existing partition scheme" option, this option allows you to keep the existing partition structure without format the drive. However, this option is only valid for external drives and not for USB flash drives.
You can copy the VHD file to another location as a backup after creating Windows To Go for the first time. After creating W2G for the second time, copy the previously backed up VHD file to the USB drive, and then perform dual boot configuration.
You can copy the VHD file to another location as a backup after creating Windows To Go for the first time. After creating W2G for the second time, copy the previously backed up VHD file to the USB drive, and then perform dual boot configuration.