Any chance that there's a way to actually encrypt a device set up like that? I usually use LUKS and EXT4 for all my drives but lately I've needed to move files

Any chance that there's a way to actually encrypt a device set up like that? I usually use LUKS and EXT4 for all my drives but lately I've needed to move files to and from Windows systems on occasion, and it kills me that (from what I can tell) there are absolutely no solutions that even attempt to do something like this. Does everyone just walk around with unencrypted portable media? I don't really want to float sensitive data on unencrypted drives, even temporarily, since that makes the data vulnerable to things like wear leveling analysis etc.