noob question can you run a web server and privoxy, openvpn set-up from usb

I wanted to know if you could use a usb memory stick to run a web server and privoxy to run off of any router usb port and cover your entire network. How would you configure access to the usb memory stick from any browser or even add openvpn server and client on it. Would you need a wireless usb memory stick to begin with. Can any of this be done to just be portable and take with you  so you don't have to reconfigure your openvpn set-up.

For example, a dlink router to a R7000, to a Asus 68u or 68 r. Or even a western digital ac 1300. something totally portable yet useable on any router.No tor.Would you use Linux , Windows,android, or something else. Oh by the way, I may be swimming with sharks because I don't know what I am doing.

AnY advice is extremely welcome.

Thanks