It has to do with how they operate.
For a regular installation to a flash drive, you're limited by USB bandwidth, so unless you have a good USB 3.0 device, you're stuck at about 20MB/s (which is equivalent to traditional hard drives from around the late '90s). All changes get written to the device too, so you are sharing that USB bandwidth for reads and writes.
A Live system however operates somewhat differently. At its core, a Live system consists of a base system image (usually a SquashFS image, as it's good for space efficiency) and an overlay mount on top of that to intercept changes and keep them in RAM. There are two specific ways this is handled:
The base system image is loaded into RAM at startup, and everything runs from there afterwards.
In this case, you can actually run faster than native speed (because you never access anything slower than RAM), but your startup takes a long time (because you're copying hundreds of MB of data into RAM.
The base system image is kept on the flash drive, but certain parts of it get pre-loaded into the cache.
In this case, you're not going to be quite as fast as native speed, but because you never write anything to the flash drive, you also almost never drop data from the cache and therefore you are running reasonably fast too.