Theoretically, yes, you can copy Steam games to the SSD, for example. Install games normally and then copy the Steam/Valve folder to the SSD.

Steam.exe can then also be started. But you have to log in.
However, it certainly varies from game to game whether it works.

If it is not a portable solution. Then I recommend retrofitting an internal SSD.

Can you be more specific with the question?

Do they mean computer games?
Playing on different devices?
What kind of games? e.g. Origin, Steam, Standalone

From my own experience, it varies a lot with computer games whether it works.