singlefilelinux is easiest way to make Linux LiveUSB for UEFI-based PC. It only requires to copy just one file to USB stick, no need re-format it.
Download bootx64.efi, copy it to \EFI\BOOT\ directory on USB stick, then reboot your PC.
If it doesn't boot, you may need to modify boot order settings on UEFI.
If you are familiar with UEFI Shell, it also very easy to launch from the shell. Just copy to any place of any EFI System Partition, you can rename it to any name (like gentoo.efi or something), then launch it like this:
It is combination of EFI-stub kernel and embedded initramfs. With EFI-stub, linux kernel can directly bootable from :\EFI\BOOT\BOOTX64.EFI. This won't need any bootloader unlike traditional boot method on BIOS environment.
On Live-CD, initramfs tries to mount CD-ROM, locate squashfs image and mount it. On this image we modified the sequence, it does not mount any block device, initramfs itself contains squashfs image. Therefore it does not need any block device, just works with one kernel binary.