Here is a list with a few apps that are portable when running from a removable drive, but store settings in the user %APPDATA% and/or in the registry when running from local disks.
Would a workaround be to use a program like vSubst http://www.portablefreeware.com/index.php?id=1503
to create a virtual drive and trick the program into keep the settings local?
I think it won't work.
Likely these programs are using the Windows API
to determine the drive type, and I believe Windows doesn't give the removable
type to SUBST drives.