I think rAm_y_ probably gets that -- they just seem to worry that the gatekeepers might not accept the game for whatever reason, maybe quality, maybe content, maybe a perceived lack of market. All those are the prerogative of the shopkeepers, of course, but they're a hurdle for those who want to publish their game in a visible merketplace, none-the-less.

Its also not terribly hard or even expensive to self-publish digital content and skip the physical media, provided that you were already comfortable accepting the realities of a physical release (e.g. no reasonable ability to lock pirates out). Short of a cryptographic hardware dongle that holds a secure portion of the game's code, physical media isn't going to be any more secure than a digital download, so there's really no benefit to it unless people actually want the trinket, or a significant portion of your customer base lacks sufficiently-speedy network access for digital distribution to be viable for them. I pay $10/mo. for my dreamhost account that has plenty of bandwidth, but the offer another service specifically aimed at hosting digital content for something like $0.02/gb that's all-inclusive (in other words, the bandwidth doesn't count against your regular bandwidth) and employs their content-deliver network (CDN). They leave you on your own to handle payments and validation though.

Possible - yes.

Feasible - no.

But if you are making a kickstarter a "custom pendrive with the game" could be interesting (as long as you are able to mark somehow the pendrive with your game's logo or something).

Case study: I own three products or parts of products that were distributed as a USB stick. All are very different from a typical videogame.

• Samsung swag from a fair: a 3 GB memory stick, Olympics-branded and in a credit card shape, which might or might not have contained promotional media files. It makes sense because, unlike a disc, a memory stick is useful and valuable.
• Fairly bulky text and graphics files for the questions of a quiz-based board game, on a common brand (not cheap) of memory stick, loose in the game's box along with other components. It was a self-produced game with a very small print run, far below the scale needed for industrial disk duplication and silkscreen printing: I think the memory sticks were chosen over home-duplicated discs because of a combination of convenience, availability, and looking better.
• A deluxe record box set: books, a selection of music on about 9 discs, everything (about 600 songs) on a custom, industrially produced memory stick. Adding 30-40 more discs would have raised the cost, bulk and inconvenience of the collection to ridiculous extremes; moreover, unlike discs, a USB stick can be easily connected to a car audio system and possibly other devices.