Playing portably on Windows 10?

[LunaMoo]

(...)
It's only the installed version of PPSSPP that saves to the User\Documents directory.

Not actually true.

Installed version does add an empty file called installed.txt which tells PPSSPP to use "my documents", this file can be creaded manually for same reason, it can also contain a path to specify where memstick location should be stored. Other way around it can also be deleted without re-downloading a zipped file to go back for using it's own directory.

However "my documents" path will also be used whenever PPSSPP can't write to otherwise used location, doesn't matter if the file exists or not.