Windows ISO files are iso9660, so you cannot "burn them" into the usb; only to optical drive.
For USB, Microsoft provides media creation tool, which will format the usb to FAT32, and then copy the files there. As said elsewhere in this thread, it will use esd instead of wim container, which has better compression, so it will fit.
The install USB can be neither NTFS nor exFAT, because neither of these filesystems are recognized by UEFI (as mandatory filesystem, by UEFI spec; yes, some implementations can recognize NTFS, but as a system vendor, you cannot rely on that). So if you want to boot it on a all systems, FAT32 is it.