The first thing we need to do is to format your USB drive to a FAT32. Couple of options are open your partition manager and format your USB drive. You can also format with the USB Stick Formatter programer.

My preference is in the terminal window with the following command
Let's create a GPT partition table and a FAT32 partition using these commands:

sudo apt-get install gdisk
sudo sgdisk --zap-all /dev/sdb
sudo sgdisk --new=1:0:0 --typecode=1:ef00 /dev/sdb
sudo mkfs.vfat -F32 -n GRUB2EFI /dev/sdb1

Let's mount the USB drive:

sudo mount -t vfat /dev/sdb1 /mnt -o uid=1000,gid=1000,umask=022

Let's install Grub2 using this command

sudo grub-install --removable --boot-directory=/mnt/boot --efi-directory=/mnt/EFI/BOOT /dev/sdb

Now we have to copy the Windows 10 files so put in your DVD install disk and copy all the files on the DVD to the USB drive.

If you don't have a Windows 10 DVD you can mount the ISO file with this command:

mount -t loop windows10.iso /mnt