You can run MultiBit on a USB drive in a portable manner if you include Java runtimes (JREs) for the operating systems you are interested in.  You can use the same executable jar on Windows, Mac and Linux. 

There is some help on how to do it here : http://multibit.org/help_runFromUSBDrive.html

You can have a shell script / bat file that runs 'local-path-to-jre/java -jar multibit-exe.jar'  to start it up using your included JRE. Note that Macs are guaranteed to have Java installed so you do not need a JRE for that platform.

Strictly speaking it does keep a local copy of the blockchain but it is the bitcoinj block chain so is less than 20 megabytes.