You can install two python's. Download Anaconda from http://continuum.io/ website for linux and windows. Install them (on win and lin machines) and then create two environments on your USB using the conda
package manager:
# Windows
conda create -p E:\pywin python all other packages you want
# Linux
conda create -p /mnt/usb/pylin python all other packages you want
Then use the pywin
environment on windows and pylin
on linux.
# Windows
D:\pywin\python.exe your_script.py
# Linux
/mnt/usb/pylin/bin/python your_script.py
With conda
you will be able to maintain the same packages in both environments so you'll have everything you need on both systems...
Or you can install the Anaconda directly to the USB, but that will require more space...