Is it possible to save the state of a live usb(linux) when i disconnect it from computer?

Every time I reboot my usb it lost all application and downloaded file.So I have to install applicaton again.Sometimes it bothers me too much.Can i use my pendrive like a harddisk which contain saved file? or any other system like this where i can restore previous state or can i use my usb again without rebooting so that downloaded files aren’t lost?