User Dan Is Fiddling By Firelight posted the following comment.

I'm leaving this as a comment since without access to a Mac I don't feel I could write a complete answer. Instead of directly creating a bootable windows installer USB, create a Ventoy bootable USB. Once you do that you can copy bootable drive images in all the major formats on as ordinary files, and then start them from a basic menu system that Ventoy shows when it boots. It's slightly more work the first time, but as long as you don't reformat the USB it'll make any future uses much easier since it reduces the operation to a simple copy/paste. ventoy.net/en/index.html

I decided to post this answer in response to the above comment. Note that the question does not explicitly rule out posting a solution which uses third party tools.

This answer is summarized below.

• Download Ventoy live CD image (ISO) file, then copy this file to an 8 GB or larger flash drive.
• Boot from the flash drive and install Ventoy to the same flash drive.
• Download the Windows 11 ISO file and copy to the flash drive.
• Boot from the flash drive and install Windows 11. If necessary, first enroll the key in MOK manager.

The steps are given next.

1. Goto SourceForge's Ventoy project files website and download the Ventoy live CD image (ISO) for x64 devices. In my case, the ventoy-1.1.05-livecd.iso file was downloaded to my Downloads folder. If your file name is different, then make the appropriate substitutions when entering the commands below.

   Insert an 8 GB or larger flash drive in an USB port on or connected to the Mac.

2. Open a Terminal application window.

   Enter the command below to remove all extended attributes from the Ventoy live CD image (ISO) file. This will remove the quarantine placed on the file when it was downloaded.

   xattr -c ~/Downloads/ventoy-1.1.05-livecd.iso
   

   Use the command below to determine the identifier for the USB flash drive. I my case, this was disk2. If your identifier is different, the make the appropriate substitutions in the following commands.

   diskutil list external
   

   Enter the commands below to copy the Ventoy live CD image (ISO) file to the flash drive. Note: Using rdisk2 instead of disk2 usually results in a quicker copy.

   diskutil unmountdisk disk2
   sudo dd if=$HOME/Downloads/ventoy-1.1.05-livecd.iso bs=1m of=/dev/rdisk2
   

   Enter the command below to eject the flash drive. Afterwards, you can remove the flash drive.

   diskutil eject disk2
   

3. Using the computer where Windows is to be installed, UEFI boot from the flash drive.

   Note
   You will need to disable Secure Boot.

   When the following Grub menu appeared, I choose the first entry, which is the default.

   

   Ventoy2Disk is loading completely into RAM disk. This allows the flash drive to be overwritten. In my case, to install to the same flash drive, I just needed to select "Install" button shown below, then the "OK" button in the following popups.

   

   After installation to the flash drive has successfully completed, the following is displayed.

   

   At this point, either manually shutdown the computer or reboot by closing the window. If you choose to reboot and are successful, then the following will appear.

   

   Shutdown the computer by pressing the F5 key, then selecting "Power" and finally selecting "Halt".

   Remove the flash drive.

4. Goto Microsoft's Download Windows 11 website and download the Windows 11 disk image (ISO) for x64 devices. In my case, the Win11_24H2_English_x64.iso file was downloaded to my Downloads folder. If your file name is different, then make the appropriate substitutions when entering the commands below.

   Insert the same flash drive in an USB port on or connected to the Mac.

5. Use the same or a new Terminal application window to enter the following commands.

   Enter the command below to remove all extended attributes from the Windows ISO file. This will remove the quarantine placed on the file when it was downloaded.

   xattr -c ~/Downloads/Win11_24H2_English_x64.iso
   

   Use the command below to determine the identifier for the USB flash drive. I my case, this was disk2. If your identifier is different, the make the appropriate substitutions in the following commands.

   diskutil list external
   

   Enter the command below to copy the Windows ISO file to the ExFAT formatted volume named Ventoy on the flash drive.

   cp ~/Downloads/Win11_24H2_English_x64.iso /Volumes/Ventoy
   

   Enter the command below to eject the flash drive. Afterwards, you can remove the flash drive.

   diskutil eject disk2
   

6. If necessary, enroll key in MOK manager as described in this step.

   Using the computer where Windows is to be installed, UEFI boot from the flash drive.

   Note
   You should have Secure Boot enabled before UEFI booting from the flash drive.

   If you encounter the following display, select OK, otherwise proceed to the step 7.

   

   The next display should appear as shown below. Before the timer expires, press any key.

   

   Select Enroll key from disk, as shown below.

   

   Select VTOYEFI, as shown below.

   

   Select ENROOL_THIS_KEY_IN_MOKMANAGER.cer, as shown below.

   

   Select Continue, as shown below.

   

   Select Yes, as shown below.

   

   Select Reboot, as shown below.

   

7. Install Windows 11.

   If you have not already done so, UEFI boot the computer where Windows is to be installed from the flash drive.

   Note
   You should have Secure Boot enabled before UEFI booting from the flash drive.

   When the display below appears, press the F5 key.

   

   Select Temporary Control Settings, as shown below.

   

   This answer assume Windows 11 is being installed on supported hardware. Normally, when booting from the Windows 11 installer, the following would be set to 0, as shown in the image below. You need to decided whether the following need to be set to 0 or 1.

   • Bypass CPU/TPM/SecureBoot check when installing Windows 11 This allows includes bypassing the 4 GB RAM check.
   • Bypass online account requirement when installing Windows 11

   When finished, press the esckey twice.

   

   Select Win11_24H2_English_x64.iso, as shown below.

   

   Select Boot in normal mode, as shown below.

   Note
   When message Press any key to boot from CD or DVD. appears, you may need to press any key.

   

   When the display shown below appears, proceed with the installation of Windows 11.

   

Example of Using the Terminal Window

Last login: Thu Mar 13 17:46:02 on ttys001
davidanderson@Davids-Mac ~ % xattr -c ~/Downloads/ventoy-1.1.05-livecd.iso
davidanderson@Davids-Mac ~ % diskutil list external
/dev/disk2 (external, physical):
   #:                       TYPE NAME                    SIZE       IDENTIFIER
   0:     FDisk_partition_scheme                        *15.9 GB    disk2
   1:                 DOS_FAT_32 MYFLASHDRV              15.9 GB    disk2s1

davidanderson@Davids-Mac ~ % diskutil unmountdisk disk2                                               
Unmount of all volumes on disk2 was successful
davidanderson@Davids-Mac ~ % sudo dd if=$HOME/Downloads/ventoy-1.1.05-livecd.iso bs=1m of=/dev/rdisk2 
186+1 records in
186+1 records out
195702784 bytes transferred in 4.038241 secs (48462383 bytes/sec)
davidanderson@Davids-Mac ~ % diskutil eject disk2
Disk disk2 ejected
davidanderson@Davids-Mac ~ % xattr -c ~/Downloads/Win11_24H2_English_x64.iso
davidanderson@Davids-Mac ~ % diskutil list external
/dev/disk2 (external, physical):
   #:                       TYPE NAME                    SIZE       IDENTIFIER
   0:     FDisk_partition_scheme                        *15.9 GB    disk2
   1:               Windows_NTFS Ventoy                  15.8 GB    disk2s1
   2:                       0xEF                         33.6 MB    disk2s2

davidanderson@Davids-Mac ~ % cp ~/Downloads/Win11_24H2_English_x64.iso /Volumes/Ventoy 
davidanderson@Davids-Mac ~ % diskutil eject disk2
Disk disk2 ejected
davidanderson@Davids-Mac ~ % 

If you want to install windows 10 aside macOS, just use bootcamp assistant, if not, than I'm not sure.