Here's how to take a Linux live distribution that runs off a USB keydrive, add/remove applications, customize other settings such as the background desktop picture, and save the changes into a new ISO file.
Saving customized live instance to ISO?
http://forums.fedoraforum.org/forumdisplay.php?f=9
Customize ISO (a bit) for use as live USB?
http://ubuntuforums.org/forumdisplay.php?f=331
Recommended tool to remaster live distro?
http://www.linuxquestions.org/questions/linux-software-2/recommended-tool-to-remaster-live-distro-935846/
[remastering] Which application?
http://www.linuxquestions.org/questions/linux-software-2/%5Bremastering%5D-which-application-4175428725/
Mainstream live distro with French UI?
http://www.linuxquestions.org/questions/linux-newbie-8/mainstream-live-distro-with-french-ui-931015/
Bonne distro recovery en français?
http://linuxfr.org/forums/linuxlivecd
Distro légère en français?
http://linuxfr.org/forums/10/index.html
Good Linux live distro for USB?