Looking at the ESXi Installable Setup guides for 4.1 and 4.0 reveals a change. In 4.0 under System Requirements, a USB drive was listed as a possible boot device, as well as being usable for installation. So you could stick in your installation media and select USB as the destination.

Under 4.1, USB is no longer listed in the documentation as a bootable device, though boot from SAN devices via HBAs is now supported.

I’ve not checked whether you can actually install ESXi Installable 4.1 to a USB drive. It may well be possible, but I suspect it’s dropped off the “Supported” list of options.

The only reason I can see to drop support for putting Installable onto USB is to encourage people to purchase and use ESXi Embedded from their hardware supplier instead.