Not all of the information is loaded into RAM. If you pull the drive Ubuntu will stop working because the commands are still on the USB drive.
I just tested this out, and I am replying to this without my USB drive in the system and it is working fine while I am still in the Try Ubuntu.
On your USB drive, modify boot/grub/grub.cfg
and add toram
to the following so both the Try and Install will work without the USB drive in:
menuentry "Try Ubuntu without installing" {
set gfxpayload=keep
linux /casper/vmlinuz.efi file=/cdrom/preseed/ubuntu.seed boot=casper quiet splash toram --
initrd /casper/initrd.lz
}
menuentry "Install Ubuntu" {
set gfxpayload=keep
linux /casper/vmlinuz.efi file=/cdrom/preseed/ubuntu.seed boot=casper only-ubiquity quiet splash toram --
initrd /casper/initrd.lz
}