If your Mac does not support this new feature it should offer the option to create a USB install drive which needs to be a USB2 drive of 8GB or greater in size. See Boot Camp for Mac: Install Windows on your Mac without using a USB hard drive or flash drive
USB stick and purely by copying the ISO in to the Windows partition it creates. Some newer Macs can do this without needing any external boot drive e.g. If you want to install Windows 10 on to a Mac to use via Boot Camp then using the Boot Camp Assistant is the best option.
