KDE Neon supports casper file system, so theoretically is possible to save changes in live distribution started from pendrive. To make this works well, needs to add in boot configuration (grub.cfg to any menu entry) option 'persistent', which normally is missing.

To avoid modifying grub.cf g file in case of every boot of KDE Neon from pendrive I decided to recreate iso (one cannot modify iso, because this is read only file system) with updated grub.cfg file. Therefore I prepared several bootable iso images, put every on pendrive and tried boot my PC.. Unfortunately from unknown reason any didn't boot from by Lenovo ThinkPad T480 (originally here is installed Windows 10, this is business laptop). Please notice that originally downloaded (KDE Neon) and stored in pendrive booting in this laptop without problem. Additionally my images were for sure bootable, because they boot on different machine, like Toshiba Portage (~7 years old laptop).

I wonder if anyone met such problem and solved it?

To create bootable iso image I followed instruction I found here: https://wiki.syslinux.org/wiki/index.ph ... =Isohybrid
I tried also below commands, but without success.
mkisofs -r -V "ISO-LABEL" -cache-inodes -J -l -b isolinux/isolinux.bin -c isolinux/boot.cat -no-emul-boot -boot-load-size 4 -boot-info-table -o NAME-OF-ISO.iso ISOTMP/
sudo isohybrid NAME-OF-ISO.iso