1. Download Kali Linux iso from here.
2. Use balenaEtcher to write the iso into your pendrive.
3. BalenaEtcher will create 2 partitions:
- iso9660 - 2.92 GB (your iso image)
- fat12 - 736 KB
4. Open KDE Partition Manager (GParted detected iso9660 as one partition as a whole) and create new partition (ext3 or ext4) on the third unused space and label it as persistence.
KDE Parition Manager
5. Create a mount point, mount the new partition there, and then create the configuration file to enable persistence. Finally, unmount the partition.
$ sudo mkdir -p /mnt/my_usb
$ sudo mount /dev/sdb3 /mnt/my_usb
$ sudo echo "/ union" > /mnt/my_usb/persistence.conf
$ sudo umount /dev/sdb3