Let's say I'll create a bootable USB stick. Can a system on HDD modify, add or delete files on boot able stick without reformatting? If so, will use of SD card with USB adapter be good idea, as they have write protection switch?
Short answer: If you don't want the contents to be modifiable, use something with a write protect switch (e.g. an SD card).
Long answer: It sort of depends on the filesystem (/volume) format used on the USB drive, but only sort of. Most filesystem formats are designed to be writable, so when they're mounted it's generally easy to add, modify, or delete files on them. A few filesystems, like SquashFS and ISO 9660, are designed to be written only once, and not to have their contents changed after that initial write. But just because they're not designed to be changed to doesn't mean it's impossible, just that it's difficult to change them (without corrupting the volume, that is), and that generally software won't support modifying them.
So if you format the stick using a write-once filesystem format, it'll be difficult, but not impossible, to modify its contents. If you want it to be impossible to modify, use something with a hardware write protect switch.