The ISO is, like a lot of linuxes, already live-bootable. Whole system is there loaded in RAM. You can choose to test or to install at the start. I can recommend the tool Ventoy, to create you an extern portable-ssd there you can put any kind of bootable ISO, wims and even some vms, it will boot easily from by menu. It based on Linux kernel, so I don't think there is a integrateable wim for, but neither is really need. Oh wait, you just mentioned in second sentence, my bad lol... Yes it is.
Just learned a new thing, after I tried shortening that link posted by @Tito (forum doesn't allow shortened url's either)
I have just had a look at Zorin, its years since I last checked it out, it looks great but all the software appears to be Snap packages, that's a big turn off. As a Mint user I have a few Flatpak installations but only because there are no system packages available. If Snap is anything like Flatpak the installations will be massive with no advantage over the far smaller traditional packages, then there are the security issues. Zorin is heading in the same direction as Ubuntu, the wrong direction in my opinion, a real shame.
It is called "freedom of choice" @Kim100. You complained then validated your own complaint with a reason; "no system packages available". Freedom of choice & when other options do not exist. Zorin is based on Ubuntu so why wouldn't they offer the widest range of software available? I like the freedom to choose. It is "a real shame" not everyone feels this way. Why do you think there are so many distros? Every a-hole has an itch & wants something "different" to scratch it with. Freedom of choice.
The main reason I am anti Snap/Flatpak is the sheer size of the installation. Take Video Downloader, its 1.7MB installed from the repository, the Flatpak version is 3.6GB installed. Its is so bloody stupid, bloat just doesn't cover this absolutely ridiculous waste of HDD space.
No problem with that but freedom to choose for everyone still applies as well as does the point you made that the software is only available in those 2 versions for download/install. Bloat consists of required system packages not available in OS. Windows software includes files & drivers required for execution even if they already exist as part of the OS which creates bloat. An imperfect world but the one we live in.