I solved the problem!
First, the chroot environment must have the necessary initframes to load a shquashfs image. For this, I simply installed the live boot packet in the chroot and then updated the initframes. /proc, /dev/pts, /dev, /sys should be available in the chroot for this to work.
# @ root on localhost
mount -o bind /proc /debootstrap/proc
mount -o bind /dev /debootstrap/dev
mount -o bind /dev/pts /debootstrap/dev/pts
mount -o bind /sys /debootstrap/sys
# @ root in chroot
apt install live-boot live-boot-initramfs-tools
update-initramfs -u
When that is done, these directories should be unmounted and the shquashfs can be created to /target/live/filesystem.squashfs.
# @ root on localhost
umount /debootstrap/proc
umount /debootstrap/dev
umount /debootstrap/dev/pts
umount /debootstrap/sys
# @ root on localhost
mksquashfs -comp xz /debootstrap /target/live/filesystem.squashfs
I formatted the USB stick in fat32 and mounted it in /target. Now Grub can be installed.
# @ root on localhost
grub-install --target=x86_64-efi --root-directory=/target
Once that's done, copy vmlinuz and the initrd.img to /target/boot and create the grub.cfg in /target/boot/grub/grub.cfg with the following contend.
insmod all_video
set default=0
set timeout=0
menuentry "debian live" {
linux /boot/vmlinuz boot=live toram=filesystem.squashfs quiet
initrd /boot/initrd.img
}
This is it, your pc should be able to EFI boot this stick.