UEFI USB only boots when formatted FAT32

On a normal hard disk installation of most any EFI-based OS, you'll have, at a minimum, one FAT EFI System Partition (ESP) and one partition for the OS itself. The ESP holds a boot loader for the OS, possibly along with files to support the boot loader (fonts, configuration files, drivers, etc.), and possibly even the OS's kernel. The OS partition holds more-or-less the same OS files you'd find on a BIOS-based installation of the same OS. Depending on the OS, you might have additional partitions, too -- data partitions, a swap partition, etc.

There can be exceptions to this rule, particularly for installation media or emergency disks. For instance, you could put the whole OS in the ESP. Also, most EFIs are happy to boot from partitions that are not ESPs, so you could just have one big non-ESP FAT partition, as you've got. This can work fine for an emergency disk, but I wouldn't recommend setting up a regular OS installation in this way; I'd use a separate ESP and OS partition.

Note that a standard EFI can read FAT, but cannot read NTFS, ext2/3/4fs, HFS+, or any other filesystem. (Apple's EFI can read HFS+, and so can read its boot loader from a Mac OS X root partition rather than from the ESP, but Apple's EFI is the exception rather than the rule. A few EFIs also have ISO-9660 filesystem drivers -- but again, they're exceptions to the rule.) Because FAT is the only filesystem that's guaranteed to be readable by EFI, an attempt to build a boot disk that does not include a FAT partition is doomed to failure, except of course when used on those unusual EFIs that support additional filesystems.

I can't provide a procedure to set up a Windows emergency disk to use separate EFI and Windows partitions, since I'm more of a Linux person than a Windows person. Unless you run into a specific problem with your approach, though, I'd just stick with it; at least you know it works.