So the first two steps are the same, then Windows and Linux have separate procedure. For generic Linux installation ISOs this procedure would be simpler. Windows 10 is a very specific bootable media, so the process is a bit involved. All of these need to be done in the Terminal app.
Here are the steps I had to take on my MacBook, originally procedure was written in macOS High Sierra, but I tested it in MacOS Mojave 10.14.2 as well. This approach will be simpler for any other ISO image like Ubuntu or CentOS, so there’s a separate Steps 3-5 for them at the end of the post. Since it’s possible to boot and install Windows 10 from USB, that’s what I decided to do: download Window 10 ISO and burn it one of the USB sticks I have. I needed to reinstall one of my Windows PCs at home recently, and realised that I only have Windows 7 DVDs, but no Windows 10s.