Encrypting a USB for use on Mac *and* Windows

I have an external USB drive and I would like to encrypt it – preferably on Mac, however Windows is an option. The USB should be ready to use for both Windows and Mac without the use of third-party software. Using third-party software for formatting and/or encryption is not a problem.

Using Disk Utility, I can only format the drive to a non-encrypted FAT32 or ExFAT. Using another format makes the USB drive unreadable on Windows computers.

I have already tried the following:

• Formatted on Mac using Disk Utility to ExFAT. Encrypted using BitLocker on Windows. Result: works on Windows, does not work on Mac.
• Formatted and encrypted on Mac using VeraCrypt. Result: works on Mac, does not work on Windows.

Again, when I mention that the drive 'does not work', it does not work in a plug-and-play kind of way. Using terminal or cmd in any way, or third party software is not a possibility for the end user.

Is there anything I might have missed?

I'm 99% sure native cross platform support for full disk encryption doesn't exist. With 3rd party tools, it is achievable.

Is FDE a strong requirement? If not, you could just use an encrypted container (uncompressed zip, 7z, etc). Don't decrypt the container on the drive itself, else it will be easily recoverable with basic software after its deleted.

Windows: https://www.7-zip.org/ , Mac: https://www.keka.io/en/