Thanks for your answer. The reason is not acadamic, but simply I don't manage to make it working.

maybe it is because of the complex environment (Gujin on MBR and additional chained bootloaders) or my pc bios which does not show the USB disk mapping.

I do manage to boot KNOPPIX if it is on the local disk by adding this entry to 40_custom

menuentry "KNOPPIX LXDE" {
set root=(hd0,2)
linux /KNOPPIX/linux boot=/dev/sda2/KNOPPIX/KNOPPIX ramdisk_size=100000 lang=it vt.default_utf8=0 nohome apm=power-off vga=normal norandr xmodule=vga nomce loglevel=1 tz=Europe/Rome
initrd /KNOPPIX/minirt.gz
}
but on the USB disk it does not work.