Ok, I've messed around a bit and finally figured it out. Here is what I did:
- Delete all partitions on the USB drive
- Create a FAT32 partition for your OS (15GB in my case) and leave the rest unallocated
- Install your OS (Tails via Startup Disk Creator in my case)
- Boot into your OS
- Boot back into your main OS (Ubuntu in my case)
- Create a new ntfs partition with 1GB leading space and 10GB following space
Remarks:
To "5.": I don't know why but if I don't do this gparted will give me errors.
To "7.": I think the amount of leading/following space doesn't matter. I just wanted to be generous with leading space. I found out that Tails OS uses the following space for persistant storage which is why I chose 10GB.

I am not an expert in any of this. If anyone knows better then please comment below. This is just what worked for me.