I built a pi zero with a male usb end attached. It looks like a giant thumb drive. It is like a parasite, in that it uses the keyboard, mouse, monitor and network connection of the attached host, all through the usb connection. This gives me a full UNIX environment even when I am on window Boxen.
I initially read about it on thingiverse, but the write up for it is here: https://www.novaspirit.com/2016/10/18/raspberry-pi-zero-usb-dongle/
I put a cover on the other side too, to protect the chips and connectors.
Using RDP the screen updates very slowly, and the desktop is slow just because the pi zero only has 512MB of RAM. But the ssh command line using putty is perfect.
I had to do a few more things on the windows side than is given in the above write up, I found another website that talked about how to get it running on windows here:
Basically I loaded bonjour print services from apple, set an ip address into the interface, and bridged the ethernet gadget with the interface that had an internet connection.
Once ping raspberrypi.local starts working then you can get an ssh connection with putty, log in as pi, and I had to
sudo apt-get install xrpd
then after each time the device boots I have to restart the xrdp service for some reason, and when I kept getting a grey screen I killed another instance of X on the pi zero and could then get the desktop to load in windows remote client.
I am interested in trying to load something like OWN cloud onto the drive and seeing how good the device will act as a cloud server.