It's me, one more time.

I tried to put those conf files in the USB key, so when it boots they're accessible at /cdrom/somedir.

Then, on the chrooted Knoppix filesystem, made the symlinks like:
#ln -s /cdrom/somedir/file /etc/file

Then, I created the compressed image as usual, and booted with the new image.

But it didn't work, the /etc/file symlink doesn't point to
/cdrom/somedir/file, it points to /KNOPPIX/etc/file.

How I point outside the KNOPPIX image a symlink?

Regards.