You’d like to create a WinPE Recovery CD but the only destination offered is “Removable flash media” (USB flash drive).
Please also refer to the more general article “How to create recovery CD/DVD“.
No ISO on Win 8.1, Win Server 2008 R2, Win Server 2012, Win Server 2012 R2 and Win Server 2016: Due to the some Microsoft’s changes operating with WIM file it is NOT possible to prepare recovery media ISO without WAIK/ADK tools.
ISO on Win 10: In Windows 10 it should be possible to create a recovery media ISO if you start the program in compatibility mode. Rightclick desktop icon and select ‘Properties => Compatibility => check “Run this program in compatibility mode for” => Windows version 7 or 8 => click “OK”‘.