Interesting, too - Parallels Desktop 8 allows for running Windows To Go-based VMs:
http://kb.parallels.com/en/115155
... à la Boot Camp VMs.
If a Fusion 5 VM could be booted from USB, this should be possibile also with Fusion: I've also read somewhere that setting firmware= "efi"in the .vmx should allow this; well, I'll try when I have some time...
