Running Linux from a USB drive is possible. You can boot just about any distribution you want from USB. There are some things you should consider before going this route. I've used Linux in just about ...
I don't think Virtualbox has a UEFI option, so I think virtualbox is (rightly) booting legacy. But still it can't boot from that ISO I just tried VMWare Player I notice that one can choose UEFI or not ...
It used to be typical for every variation of Raspberry Pi to require booting from an SD or microSD card. It wasn't until the Raspberry Pi 2 Model B that the firmware received an update for booting ...
It is the first thing you need to fix the issue as stated above. For that, you need to run the virtual machine showing the error and go to the Devices > Install Guest ...