In general, virtualization hypervisors load and run from memory. There's no need for them to be installed on a hard drive when they can be installed on a flash drive. This may also speed up boot times.

VMware vSphere has installation directly onto a USB drive as a standard installation option since at least version 5.

• Microsoft Technet: Run Hyper-V Server 2012 From a USB Flash Drive (references 2008R2 directions as valid for 2012)
  http://technet.microsoft.com/en-us/library/jj733589.aspx
• Microsoft Technet: Deploying Microsoft Hyper-V Server 2008 R2 on USB Flash Drive
  http://technet.microsoft.com/en-us/library/ee731893(WS.10).aspx

Verbatim Stor 'N Stay
http://www.verbatim.com/prod/usb-drives/everyday-usb-drives/netbook-usb-drive-sku-97463

Crucial Gizmo Jr¹⁾
http://www.crucial.com/store/partspecs.aspx?imodule=ct4gbufdjnr000

SanDisk Cruzer Fit
http://www.sandisk.com/products/usb/drives/cruzer-fit/

• Why run VMware ESXi from a memory stick or SD Card?
  http://www.techhead.co.uk/why-run-vmware-esxi-from-a-memory-stick-or-sd-card
• vReference: Understanding ESXi – stateless, diskless, feckless
  http://www.vreference.com/2011/02/10/stateless-diskless-and-feckless/
• ESXi installation - Flash memory vs Hard disk
  http://communities.vmware.com/docs/DOC-11349