Handling Transient Currents on USB Powered Devices
Have you read
Kollman and Betten,
"Powering electronics from the USB port"
?


  A large capacitance on the output of the current limit is meant to be
  the buffer to handle transient currents. This capacitance tied to a
  boost converter powering the amp should do the trick, right?


That sounds pretty reasonable:

USB power--&gt;--[A]--|D&gt;|-+--[B]-+-[E]--[S]
       |                |      |
       |               [C1]   [C2]
       |                |      |
      GND              GND    GND


where


[A] is a input-current-limited boost converter,
|D>| is the final output diode typical of such boost converters,
[B] is another DC-DC regulator (perhaps a buck regulator),
[E] is the audio amplifier,
[S] is the output speakers.
[C1] is an intermediate storage capacitor with wildly-varying voltage,
[C2] is a storage capacitor that B tightly regulates to whatever E requires.


What exactly is your question?
I'm not sure, so I'm going to make 3 guesses:

Q: Is it possible to send 5 W(peak) to the speakers, while respecting the 500 mA USB limit?

A: Yes. While pesky laws of physics prevent us from sending a long-term average of 5 W to the loudspeakers while respecting the 500 mA USB limit
(which limits us to pulling at most 500 mA * 5 V = 2.5 W at any instant),
the idea of storing up energy during the "quiet" sections of music
and then dumping that stored energy into the speakers during loud transients is reasonable.
My understanding is that all mains-powered audio amplifiers that comply with EU-mandated power factor law EN61000-3-2 already do that -- they limit the current they pull from the mains wall outlet in order to maintain the appropriate power factor,
and store the power in a bank of capacitors much like [C1].
During the zero-crossings many times per second,
it's impossible to extract any power out of the wall outlet.
So the designer sizes the capacitor bank big enough to supply all the energy required to keep the sound going until plenty of mains power is available again.

Sooner or later, it seems likely that some user will turn the volume knob all the way up and then try to play music that asks the amplifier to do something impossible -- to continuously dump 5 W of power into the speaker.
I know some designers who would disagree on how the amplifier should respond to such an impossible request:


(a) Try to play the music perfectly at the human-set volume for as long as possible, until the storage capacitor is more-or-less completely drained. Then shut off the audio amplifier and stay silent until the storage capacitor is completely recharged.
(b) Try to play the music perfectly at the human-set volume for as long as possible; but set the clipping level proportional to the amount of energy available in the storage capacitor (preferably with soft clipping, also called gain compression); so quiet speech followed by very brief loud noises always play at the human-set volume, but loud sounds that go on for a while get progressively more distorted.
(c) Play the music perfectly at the human-set volume as long as the storage capacitor is close to fully charged; gradually adjust the actual volume quieter when it notices that loud noises have drained a significant amount of power from the storage capacitor; gradually return the actual volume level back to the human-set volume when it notices that the storage capacitor is fully charged. (Preferably make sure the capacitor bank is big enough and the volume is rampped down rapidly enough that the output is never clipped or silenced).


Q: Can I leave out regulator [B], and power the audio amp directly from the storage capacitor?

A: Unlikely.
The voltage on that storage capacitor will likely go up and down a factor of 2 in normal operation.
That's well outside the recommended operating range of typical audio amplifiers
(unless they already have a DC-DC converter regulating their power),
and no audio amplifier can perfectly reject such power-supply noise.
Many DC-DC regulators can easily convert such widely varying voltages
into something inside the recommended operating range of typical audio amplifiers.

Q: Is there a boost regulator that can put out more than 200 mA into a storage capacitor already charged to at least 10 V, while respecting the 500 mA USB limit?

A: No. I hear rumors that many USB devices are expected to work even when the USB voltage at the device is only 4.0 V.
At 4.0 V, the 500 mA(max) limit gives a maximum power of 2 W.
At 2 W(max) input power into a boost converter that has already charged a capacitor up to 10 V,
the maximum physically possible current out of that boost converter is 200 mA.

Even though there may be a maximum of 2 W going into the storage capacitor bank, you can probably design that capacitor bank to easily supply 1000 mA at 12 V (12 W) during brief acoustic transients.
(You'll probably want a bank of capacitors in parallel to lower the net ESR, or use low-ESR capacitors, or both -- rapid changes in voltage on a high-ESR capacitor causes it to heat up and fail).

Q: Is there some way to get more power to my USB audio amplifier?

A: Yes. Have you considered


using a separate mains power supply, similar to self-powered USB hubs?
using battery power?
using 2 USB plugs, one for data (and some power), and another plug just to pull more power from the host or a USB power port?
Somehow take advantage of higher current limit of 1.5 A in USB 2.0 (some sources say more; typo?)
Somehow take advantage of higher current limit of 3.0 A in USB Type-C (?)