Yes and no.
For Windows, you could put the X2GoClient directory on the USB flash
drive, add the ssh private key, and add a small batch file that runs
x2goclient.exe with the "--portable" option.
The catch is that there is no autorun for USB flash drives (that's a
security feature) in Windows, so your users would have to double-click
on the batch file.
Using a CD/DVD would probably work, as Windows does support autorun
there, IIRC.
Note that a system administrator may change this and e.g. disable
autorun completely, so there's no guarantee that it will work in 100%
of all cases.
- -Stefan