I want to boot OS (say Redhat) from my pen drive.
I have seen in internet that we can do the same by copying "live CD"
of any OS to pendrive. Can't we just Install the OS onto the pendrive
itself as like we install in hard disk ?
The files are easy to copy but installing the bootloader to a pen drive can be tricky. I have done it and my entire Linux OS runs on a 64Gb USB3 'stick'. Try it and see, I think some drives will work better than others. Alternatively there are several programs that will do it for you although they may have some restrictions on saving data or may not allow live updating. Try 'Linux Live Creator' and select an ISO linux in mage to load to it.