Thanks to an old post of @Belgarath I could do it:
1) Create a VHD file with Windows disk management using a MBR partition (With a GPT, it refuse to mount properly in a D letter drive).
2) In Launchbox, in the game properties, in the Launching tab, put the vhd file path in Application path.
3) In the Additional Apps, click Add Application and insert the game executable file path when the virtual drive is mounted. Check Automatically Run After Main Application.
Problem: Using the virtual drive, the game starts in 22 seconds from Launchbox. If the virtual drive is mounted already, the game starts in 4s. I'm not sure it's a good solution when you have to mount and unmount every game. I wanted to have a cleaner management of all the files Nesica and TTX create in the D root.