IIRC zip can, but doesn’t by default. Source : wasted 8 hours trying to figure out why something didn’t work anymore (had to switch from tar to zip because stupid security system wouldn’t let me transfer the tar file)

Random idea that might work: Try to install ReFind from windows, it should work and allow you to boot from random thing more easily. Then try using it to boot from the SD card. Don’t forget to turn off secure boot. If that doesn’t work, the right idea is indeed to “burn” the media on a partition, however you will also encounter some amount of headache with this option: an installer is not a single partition, but multiple ones. You could try only having the “main” partition on disk, and use refind to boot it too.

TL;DR: ReFind could help you. Turn off secure boot.