How exactly do you create a portable cross-platform USB stick with VeraCrypt?
From the VeraCrypt Supported Operating Systems page:


  MacOSX 10.6 and newer. OSXFuse must be installed.


If you want to use VeraCrypt, you will need to install OSXFUSE. They are telling you there is no way for it to operate without OSXFUSE installed, both on their website and in the error message you posted.