Absolutely not. 1. It's for Windows and 2. it's not something most OSs can boot from. It would be best to use a file system like ext3 for the live system. Since you're making it in windows, best to make it in FAT32/vfat/msdos. Better to make it with a couple partitions, so you can have persistence and you may want a partition in a different file system depending on what you are using it for.
Edit: Well, if you're using one of the standard Linux Live USB processes, it will put a disk image on it in a way that emulates a CD/DVD. It should be able to use anything that Windows can read to start with but USBs come as VFAT/FAT32 always as it's an fs that linux, OS X, and Windows can all read natively so there's no reason to change that. However, you really may want persistence and for that you probably should create your live USB while in Linux (either natively, from a live CD, or from a VM), so that you can make an ext3 partition if you want one.
A lot depends on what you want to do. If you're setting up Kali, there is absolutely no reason to ever view the files on the usb from Windows and in fact you'll probably want to encrypt them. Likewise if you're doing something like Tails or LPS. However, USBs are big enough now that there are all sorts of things you could be doing with them. You could even partition them and make them multi-boot live USBs that boot into different OSs, as they're basically just compact hard drives.
Since you didn't explain what you're doing or provide any links to any instructions you're following, I must give broad answers. You might be creating a bootable a different way that the norm.