Rufus developer here. I'm going to try to add a proper answer since there seems to be a lot of misconception about the whole thing. Hopefully, this will help others.
RUFUS says that it cannot be burned to a fat32 usb.
Yes, but if you tried NTFS in Rufus, you would have seen that it does allow you to use that file system, even for GPT/UEFI boot, in which case the issue about the >4GB
install.wim goes away.
This is because Rufus relies on an advanced feature, called UEFI:NTFS, precisely to work around this kind of situation. With UEFI:NTFS, Rufus does allow seamless boot of an NTFS partition from a pure UEFI system.
In other words, despite what you may have heard, you are NOT limited to only using FAT32 when booting UEFI. If needed, you can actually boot from NTFS (at least, if you created the drive using Rufus). Plus, Rufus does have logic to detect the presence of a >4GB file in an ISO, and select NTFS by default as the file system when that is the case. So, all you had to do was rely on Rufus to pick the best set of options for you, and just give it a try.
I think it HAS TO be fat32 to work with gpt.
I think you mean UEFI rather than GPT, but, regardless, that's actually a very damaging misconception that is still being very erroneously propagated to this day. I really can't stress this enough: There is absolutely nothing in the UEFI specs that says that it HAS TO boot from FAT32.
As a matter of fact, if you want you can go and purchase any NUC system from intel (as well some systems from other manufacturers), and you'll find that its UEFI firmware will happily boot, in pure UEFI mode, straight from an NTFS partition. So, NO, UEFI does not require FAT32 to work.
The only thing the UEFI specs say is that, at the very least, FAT32 should be supported for boot, but that doesn't preclude other file systems from also being bootable, or utilities, such as Rufus, to work around the possibility that the UEFI firmware's default only includes support for FAT32, and expand on the capabilities of that firmware by adding runtime support for NTFS boot if that is missing.
For more on this, you may be interested in the relevant entry from the Rufus FAQ.
So, to summarize, be mindful about what you hear on the internet about FAT32 and UEFI. Instead, it might be worth to give a little credit to utilities that have been designed, from the ground up, to work around any potential limitations, by testing whether the default configuration they advise you to use might work.