Probably not worth your while but if you're absolutely stuck with the 3rd party app and are against writing to disk you could create a virtual drive using a library like http://dokan-dev.net/en/. You could intercept the requests from the 3rd party app and stream the converted files to it as they were needed.
Saying that, I would probably take the hit on writing the files to a normal drive.
If nothing else it'll kick off your searches.